asset-liability management specialty guide

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1、SOCIETYOFACTUARIESASSET-LIABILITYMANAGEMENTSPECIALTYGUIDETABLEOFCONTENTSASSET-LIABILITYMANAGEMENT4Introduction4WhatIsALM?4TheRoleoftheActuary5Relevantprofessionalorganizations6FormatoftheGuide'sContent6BASICSINFINANCIALECONOMICSRELEVANTTOALM8Risk/ReturnTrade

2、offModels8BehavioralFinance11TheEfficientFrontierandAssetAllocation12TOOLSANDTECHNIQUES16BasicRiskSensitivityMetrics16Immunization16AdvancedRiskAnalysis22FinancialMarketModeling23Arbitrage-FreeInterestRateModels23Derivatives26GeneralFunctionality26Derivative

3、sPricing27DerivativesApplicationinALM27CreditDerivatives—CreditDefaultSwap33Othernewcorporatebondproducts33Referencesforcreditriskmanagementandcreditderivatives34Otherreferences34FairValueofLiabilities36Background36InsuranceLiabilities37PensionLiabilities41P

4、erformanceMeasurementandBenchmarking42GenerationofStochasticALMScenarios44Introduction44Dimensionality44Readings45NumberofNecessaryScenarios45Readings46CombiningModels46Readings47Arbitrage-FreeProperty47Readings48Realism48Readings49Intuition49EaseofCalculati

5、onandImplementation49“IndustrialStrength”49AcceptabilitybyOurCustomers49ConstructionandCalibration49Readings50RealityCheck51Readings51DataProviders51Readings52Modelingsystems53Readings53APPLICATIONSOFALM54CorporateALM54ALMinProductDevelopment57PropertyandCas

6、ualtyInsurance63EarlyStudies63TermStructureofInterestRates63CommonStockDurations64DynamicFinancialAnalysis64ExpectedPolicyholderDeficit64CoherentRiskMeasures65Risk-BasedCapitalRequirements65FederalIncomeTaxes65Asset-LiabilityEfficientFrontier65PensionPlanALM

7、74RegulatoryIssues77FAS13377AICPAStandards77USInsuranceStatutoryIssues77FairValue77AmericanAcademyofActuaries78EuropeanUnion78ENTERPRISERISKMANAGEMENTCOMMENTARY79ASSET-LIABILITYMANAGEMENTIntroduction(NOTE:NEWLYUPDATEDSECTIONFORTHISDRAFT)ThisSpecialtyGuideisa

8、backgroundreadinglistreferenceforthepracticeofasset-liabilitymanagement(ALM).ItisintendedtoprovideguidancetoanyoneseekingtogainknowledgeregardingALM,especiallywithrespecttoitsapplicationtofinanc