In Asset and Liability Management (ALM) models, there are parameters whose values not known with certainty at decision time, such as future asset returns, liability contribution values. Simulation models generate possible “scenarios” for these parameters, which used inputs in the optimisation help thus making decisions. These decisions can be evaluated sample, on same scenarios that were decisi...

This article provides a detailed analysis of the theoretical, statistical, and implementation challenges related to factor investing in US sovereign bond markets, with focus on level factor, which explains for any maturity largest fraction differences returns over time. Using comprehensive database individual United States covering 1975–2018 sample period, authors find that conditional version ...

Asset/Liability management, optimal fund design and optimal portfolio selection have been key issues of interest to the (re)insurance and investment banking communities, respectively, for some years especially in the design of advanced risktransfer solutions for clients in the Fortune 500 group of companies. Building on the new concept of limited risk arbitrage investment management in a diffus...

Abstract Marxists see firm ownership as an instrument for capitalists to exploit workers for “surplus value”. Neo-classical economists treat capital and labour equally as factors of production, which generate wages for workers and profits for capital owners. Both “Surplus value” and profits should be, and indeed are, on average, positive in typical market economies. This paper proposes a theory...

Although emerging market Asian economies have experienced high growth without crises for close to a decade, many commentators find the large buildup of foreign exchange reserves among these economies both puzzling and evidence of incipient global imbalances. This paper reviews some of the experience of Asian countries over the last decade. We focus on the degree to which Asian economies have ex...

Uncertainty of insurance liabilities has always been the key issue in actuarial theory and practice. This is represented for instance by study and modeling of mortality in life insurance and loss distributions in traditional actuarial science. These models have evolved from early simple deterministic calculations to more sophisticated, probabilistic ones. Such probabilistic models have been tra...

Traditional corporate social capital formulations have been based on a firm’s positioning within its network of market place alliances. This paper extends this model by incorporating firm status attributes of intellectual capital and corporate reputation into an integrated model for corporate social capital. An empirical study of some 155 firms in the global Information Technology sector was co...

In this paper, we explore how a firm’s reputation affects both the reaction of the market to that firm’s product defects, as well as the firm’s learning response. In contrast to a variety of arguments set out by information economists and market sociologists claiming that reputation serves as an organizational asset, we explore the possibility that reputation can be an organizational liability....

ALM is an acronym for Asset Liability Management. measurement methodology monitor and manage a bank's market risk. liability management much more than just risk mitigation. It the of interest-bearing assets liabilities can be maximised while dealing with all types current future hazards. Ratio Analysis was used to examine bank assess impact Management on profitability. This research examines to...

There is widespread agreement among leading debt management practitioners about the adequacy of debt servicing cash flow simulation technique to estimate the cost and risk of a sovereign liability portfolio. This practice gains a solid theoretical platform when re-cast into an asset liability management (ALM) framework. The issue then becomes how to incorporate the government’s assets into cost...