Corlosquet-Habart M., Gehin W., Janssen J., Manca R. Asset and Liability Management for Banks and Insurance Companies

London: Wiley-ISTE, 2015. — 154 p. — ISBN: 9781848218833.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.Risks studied in ALM.
Durations (revisited) and scenario for ALM.
Building and use of an ALM internal model in insurance companies.
Building and use of an ALM internal model in banks.