Abstract
Asset Liability Management (ALM) is a decisional tool that helps to manage interest rate risks and their correlated risks, with the objective of sustaining the profit or enriching the institution. The difficulty with the endeavor comes from the inadequate data system, the complexity of financial products; in particular, on the embedded options and the credit risks. In this paper, we shall present a complete feasible solution to ALM, from practical experiences, by modelling the cash flows of all products and providing the optimization for restructuring of the balance sheet to meet the risk/return objective of the management. Discussions on strategies and ALM organization are also given to assure a smoothly running ALM solution.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Bhattacharya, A.K., 1991, ‘Overview of asset/liability management models and interest rate risk control’, in F.J. Fabozzi and A. Konishi (Eds), Asset/Liability Management, Chicago, IL: Probus, pp. 99–122.
Bierwag, G.O., G. Kaufman, and A. Toevs, 1983, ‘Duration: Its development and use in bond portfolio management’, Financial Analysis Journal July-August, 15–35.
Elderfield, M., 1994, ‘Developments in EC and international capital adequacy regulations’, J. Finan. Reg. Compi. 2 (4), 314–322.
Fabozzi, F.J. and A. Konishi, 1991, Asset/Liability Management, Chicago, IL: Probus.
Gualandri, E., 1991, ‘The approaches to interest risk of supervisory authority and financial institutions’, Revue de la Banque 1, 20–33.
Gualandri, E., 1997, ‘Asset & liability management: Regulatory guidelines on interest rate risk control and their impacts on financial institutions’, in D. Ho and T. Schneeweis (Eds), Advanced Applications in Finance, Investment and Banking, to be published.
Ho, D., 1992, ‘A practical approach to asset liability management’, Finan. Syst. J. 3, 142–150.
Ho, T.S.Y., 1990, Strategic Fixed Income Investment, Homewood, IL: Dow Jones-Irwin.
Kritzman, M.P., 1990, Asset Allocation for Institutional Portfolios, Homewood, IL: Business One Irwin.
Langen, D., 1989, ‘An (interactive) decision support system for bank asset liability management’, Decision Support System 5, 389–401.
Platt, R.B., 1986, Controlling Interest Rate Risk. Applications for Money Management, New York: Wiley.
Toevs, A.L., 1986, ‘Uses of duration analysis for the control of interest rate risk’, in R.B. Platt (Ed.), Controlling Interest Rate Risk, New York: Wiley, pp. 28–61.
Toevs, A.L. and W.C. Haney, 1986, ‘Measuring and managing interest rate risk: A guide to asset/liability models used in banks and thrifts’, in R.B. Platt (Ed.), Controlling Interest Rate Risk, New York: Wiley, pp. 256–350.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1997 Springer Science+Business Media Dordrecht
About this chapter
Cite this chapter
Ho, D. (1997). Asset Liability Management. In: Amman, H., Rustem, B., Whinston, A. (eds) Computational Approaches to Economic Problems. Advances in Computational Economics, vol 6. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-2644-2_10
Download citation
DOI: https://doi.org/10.1007/978-1-4757-2644-2_10
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4419-4770-3
Online ISBN: 978-1-4757-2644-2
eBook Packages: Springer Book Archive