Asset-Liability Management is critical for the successful working of banks. The Indian Financial system very dynamic and growing rapidly. Banks focus on both assets liabilities due to liquidity risk, interest rate risk foreign exchange risk. implementation understanding ALM policies, procedures will provide insight into approach banks towards ALM. A primary survey conducted among employees twel...

We study the problem of diversifying a given initial capital over a finite number of investment funds that follow different trading strategies. The investment funds operate in a market where a finite number of underlying assets may be traded over finite discrete time. We present a numerical procedure for finding a diversification that is optimal in the sense of a given convex risk measure. The ...

Asset Liability Management (ALM) in the next generation should maximize profits within this limitation. To avoid potential failures of the current ALM process, the following must be achieved: 1) realistic accounting by each transaction, 2) market rates and corporate credit rating scenario paths proceed with time, 3) evaluation along each scenario for at least several years at daily resolution. ...

In this article the method of pricing the liabilities of a financial institution by means of dynamic mean–variance hedging is applied to the situation of an incomplete market that is nevertheless in equilibrium. For a given stochastic asset–liability model that is consistent with the market, the article shows how to determine a unique price at which, subject to specified provisos, a prospective...

This paper describes a general approach for the stochastic modeling of assets returns and liability cash-flows typical pensions insurer. On asset side, we model investment on equities various classes fixed-income instruments including short- long-maturity fixed-rate bonds as well index-linked corporate bonds. risks are driven by future mortality developments price wage inflation. All risk facto...