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Download Asset and Liability Management for Banks and Insurance by Marine Corlosquet-Habart, William Gehin, Jacques Janssen, PDF

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By Marine Corlosquet-Habart, William Gehin, Jacques Janssen, Raimondo Manca

This booklet introduces ALM within the context of banks and insurance firms. even if this method has a middle of basic frameworks, versions could differ among banks and insurance firms as a result of the assorted dangers and objectives concerned. The authors evaluate and distinction those methodologies to attract parallels among the commonalities and divergences of those prone and thereby supply a deeper figuring out of ALM in general.

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Solvency II has a much wider scope because it reflects the new risk management practices to define the required capital and manage risks. In fact, the aim of Solvency II project is to review the prudential legislation for insurance and reinsurance undertakings in the EU. It introduces new, harmonized EU-wide insurance regulatory rules. More precisely, the key objectives of Solvency II are the following: – better protecting consumers and rebuilding trust in the financial system; – ensuring a high, effective and consistent level of regulation and supervision by taking into account the varying interests of all Member States and the different nature of financial institutions; – giving a greater harmonization and coherent application of rules for financial institutions and markets across the EU; – promoting a coordinated EU supervisory response.

24] that the value of the global convexity is 2,925 × (10)6. 5 × (10 ) (Δ i ) . 5. 3125 × (10)-3. Let us point out that we have similar but decreasing values with a negative global convexity. 23] gives: [ A(i) Dm, A (i) − B(i) Dm, B (i)⎤⎦ S (i + Δi ) − S (i ) ≅− Δi S (i ) S (i ) 1 [CVA (i ) A(i ) − CVB B(i )] 2 + (Δi) . 31] , result becomes: S (i + Δi ) − S (i ) 1 2 ≅ −D R m , S (i)Δi + CV R S (i) (Δi ) . 5(Δi ) . 6. 21] for which the surplus is given by: n S ( A1 ,... Bn ; i ) = ∑ ( A j − B j )(1 + i ) −t j .

N. , T − 1), as follows: ai1 = Ai1 − Ai 0 , aik = Ai ( k +1) − Aik , b j1 = B j1 − B j 0 , b jk = Bi ( k +1) − Bik ,. 66] Ai 0 and B j 0 being the initial values respectively of the section i of the asset and the section j of the liability. Of course, we have: A(k )(= Ak ) = A1k + ... + Amk , B(k )(= Bk ) = B1k + ... + Bnk , E (k )(= Ek ) = A(k ) − B(k ). 8. Dynamics of asset and liability flows Of course, the given scenario also contains YCs for assets and liabilities eventually m + n YCs for the m + n sections.

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