By Marine Corlosquet-Habart, William Gehin, Jacques Janssen, Raimondo Manca
This booklet introduces ALM within the context of banks and insurance firms. even supposing this approach has a middle of primary frameworks, types may perhaps fluctuate among banks and insurance firms a result of assorted dangers and pursuits concerned. The authors evaluate and distinction those methodologies to attract parallels among the commonalities and divergences of those prone and thereby supply a deeper realizing of ALM in general.
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Additional resources for Asset and Liability Management for Banks and Insurance Companies
Fn ; i )(Δi ) 2 . , Fn ; i)(Δi) 2 . 14] This relation gives relevant information on the possible scenario (Δi, α) : if α − Dm (i )Δi = 0, then there is at first order immunization that is the present value is not affected by this scenario. If α − Dm (i )Δi > 0, then this scenario is good as the new present value is larger than the initial value. However, if α − Dm (i )Δi < 0, this scenario is bad for the bank as it produces a loss of the present value. The consideration of the convexity shows a slight improvement in case of immunization.
Am1 ) − (b11 + ... + bn1 ), # Es = A( s ) − B ( s ) = (a1s + ... + ams ) − (b1s + ... + bns ), # ET = A(T ) − B(T ) = (a1T + ... + amT ) − (b1T + ... 4. Sensitivity of equities and VaR indicator To test the sensitivity of equities, it is necessary to select different scenarios and to see how the equities react particularly if the worst of them will be realized. This is a very big task. In general, as we will see in the two next chapters, we start from a central scenario and we construct several other scenarios taking into account the economics and financial environment.
Since 2009, successive financial stress tests conducted by the European Banking Authority and the Committee of European Banking Supervisors are done on a yearly basis. In general, they select the scenario to be used for the banks themselves. It is clear that if a bank does not succeed in these stress tests, its reputation as well as its market value will rapidly go down. Moreover, the shareholders have to increase the capital following the result obtained. Otherwise, their activities can be interrupted.
Asset and Liability Management for Banks and Insurance Companies by Marine Corlosquet-Habart, William Gehin, Jacques Janssen, Raimondo Manca