An Integrated Asset Liabiliy Management study differs from an ordinary market study by the ability to also evaluate and analyse the liabilities side of a balance sheet. Target of this thesis to undertake such a study. To accomplish his target, a specifc market modell, namely the zagst model is implemented. Therefore a closed form solution of every considered process will be provided. On this basis, also the expectations and correlations of the processes are calculated. Since every stochastic variable are, by definition, normally distributed the joint distribution of all variables at each time step is known. For the simulation of single scenarions the Euler-Maruyama-Scheme is used. We also provide algorithm that allows to include forecast and thus to easily run stress tests or to include own beliefs of the future development of certain market figures. Also there is shown how to estimate the parameters of the model using the kalman filter algorithm. To include the liabalities side a simplified model is implemented. At last the study is carried out for the so-called Constant Ratio strategy with three different asset allocations. This is done both in an unconditional an unconditional setting. The advances of an Integrated ALM study are that not just market returns can be analysed but also the probability of default of the examined company for a certain portfolio strategy can be stated. Here, the conclusion is that the CR strategy does not perform well enough to guarantee the survival of the company.     «

An Integrated Asset Liabiliy Management study differs from an ordinary market study by the ability to also evaluate and analyse the liabilities side of a balance sheet. Target of this thesis to undertake such a study. To accomplish his target, a specifc market modell, namely the zagst model is implemented. Therefore a closed form solution of every considered process will be provided. On this basis, also the expectations and correlations of the processes are calculated. Since every stochastic var...     »