Handbook of Asset and Liability Management: From models to optimal return strategies

Part V

Tools for Asset and Liability Managers

In this Part, we will describe in detail the mathematical tools used by quantitative A/L managers:

• simulation models in order to understand the possible evolution of financial markets;
• delta equivalent techniques used to represent options in risk indicators and to determine risk free strategy;
• other mathematical tools such as risk measures and associated optimization tools, or statistical tools.