Asset and Liabilities Management for Banks and Insurance Companies
Publication Date: August 2015 Hardback 166 pp.
In the current financial climate, Asset and Liability Management (ALM) has become a cornerstone of Risk Management for banks and insurance companies. ALM constitutes a continuous management process that supplies financial strategies to firms for management of their assets and liabilities. This method aims to aid companies in achieving their financial goals within predefined constraints and understanding the risks involved.
This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and contrast these methodologies to draw parallels between the commonalities and divergences of these two services and thereby provide a deeper understanding of ALM in general.
This discussion is of interest to financial and risk managers of insurance companies and banks, particularly dealing with ORSA (Own Risk Solvency Assessment) techniques, economy students or masters and people involved in Solvency II for insurance companies and in Basel II and III for banks.
1. Definition of ALM in the Banking and Insurance Areas.
2. Risks Studied in ALM.
3. Durations (Revisited) and Scenarios for ALM.
4. Building and Use of an ALM Internal Model in Insurance Companies.
5. Building and Use of ALM Internal Models in Banks.
About the Authors
Marine Corlosquet-Habart is a certified actuary and co-director of EURIA (Euro-Institut d’Actuariat, University of West Brittany, Brest, France). She teaches at EURIA, Telecom Bretagne and Ecole Centrale Paris (France). Her main research interests are pandemics, Solvency II internal models and ALM issues for insurance companies.
William Gehin is a graduate engineer and actuary with risk management experience in both banking (Rothschild, HSBC) and insurance (BNP Paribas Cardif). His actuary dissertation concerned the management of extreme financial risks and received two international prizes (FFSA and AFGAP-PRMIA prize).
Jacques Janssen is Honorary Professor at the Solvay Business School (ULB) in Brussels, Belgium, having previously taught at EURIA (Euro-Institut d’Actuariat, University of West Brittany, Brest, France) and Telecom Bretagne (Brest, France) as well as being a director of Jacan Insurance and Finance Services, a consultancy and training company.
Raimondo Manca is Professor of mathematical methods applied to economics, finance and actuarial science at the University of Rome in Italy. His main research interests are multidimensional linear algebra, computational probability, the application of stochastic processes to economics, finance and insurance and simulation models.