精算師考試輔導(dǎo)之2014重要章節(jié)講解——利率風(fēng)險(xiǎn)管理策略的數(shù)值測試,這是官方的資料哦,煩請重視小編的辛勤勞作。
  估計(jì)框架
  資產(chǎn)負(fù)債管理(ALM)技術(shù)
  消極的價(jià)值策略:盈余預(yù)防
  積極的價(jià)值策略:盈余保護(hù)
  收益策略
 
  閱讀材料:
  4.1 CIA Educational Note "Measurement of Exposure to Interest Rate Risk," by Subcommittee on C-3 Risk, Committee on Investment Practice, June 1995
  4.2 H. H. Panjer (editor) 1998. Financial Economics: With Applications to Investments, Insurance and Pensions. The Actuarial Foundation. Sections 3.1 to 3.9, and 3.11.
  4.3 Ang and Sherris 1997 "Interest rate risk management: Developments in interest rate term structure modeling for risk management and valuation of interest-rate-dependent cash flows" North American Actuarial Journal Vol 1 No. 2, pages 1-26.
  4.4 R.S. Hiller and C. Schaack, "A Classification of Structured Bond Portfolio Modeling Techniques", Journal of Portfolio Management, Fall 1990, pages 37 to 48.
  4.5 M. Smink1994. "A numerical examination of asset-liability management strategies," Proceedings of 4th Actuarial Approach for Financial Risks (AFIR) International Colloquium. 8V-306-00 (Translation need to be done carefully, as there are many misprints.)
  高頓網(wǎng)校之心靈雞湯匯編:在快樂時(shí),朋友會(huì)認(rèn)識(shí)我們;在患難時(shí),我們會(huì)認(rèn)識(shí)朋友。 -(英)柯林斯