Asset and Liability Management for Banks and Insurance Companies [Hardcover]

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.

INTRODUCTION ix

CHAPTER 1. DEFINITION OF ALM IN THE BANKING AND INSURANCE AREAS 1

1.1. Introduction 1

1.2. Brief history of ALM for banks and insurance companies 2

1.3. Missions of the ALM department 3

1.3.1. Missions of the ALM department for banks 3

1.3.2. Missions of the ALM department for insurance companies 5

1.4. Conclusion 8

CHAPTER 2. RISKS STUDIED IN ALM 9

2.1. Introduction 9

2.2. Risks studied in a bank in the framework of Basel II and III 9

2.2.1. Main risks for banks 9

2.2.2. From Basel I to Basel III 11

2.3. Stress tests 15

2.3.1. What is a stress test? 15

2.3.2. The stress tests of 2014 16

2.4. Risks studied in an insurance company in the framework of Solvency II 17

2.4.1. Solvency II in a nutshell 17

2.4.2. Focus on the risks 20

2.5. Commonalities and differences between banks and insurance companies’ problems 25

2.5.1. Commonalities 25

2.5.2. Differences 25

2.6. Conclusion 26

CHAPTER 3. DURATIONS (REVISITED) AND SCENARIOS FOR ALM 27

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