Asset/liability management under uncertainty for fixed-income securities

1995 ◽  
Vol 59 (1) ◽  
pp. 77-97 ◽  
Author(s):  
Stavros A. Zenios
Keyword(s):  
Fixed Income ◽  
Fixed Income Securities ◽  
Asset Liability Management ◽  
Liability Management

Asset-Liability Management

2019 ◽  
pp. 75-95
Author(s):  
Hyun Song Shin
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Pension Funds ◽  
Fixed Income ◽  
Asset Liability Management ◽  
Life Insurers ◽  
Liability Management ◽  
Demand Curves

Life insurers and pension funds have obligations to policy holders and beneficiaries and hold fixed income assets to meet those obligations. Asset-liability management matches the duration of assets to duration of liabilities to minimise risks from interest rate changes. However, this rule can lead to upward sloping demand curves for fixed income assets and can lead to overshooting of long-term interest rates.

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