This paper proposes an Heath-Jarrow-Morton model of the yield curve that can fit the particular requirements of long-term asset and liability management (ALM). In particular, the proposed HJM model can reproduce expected long-term statistical properties of any two interest rates, while still...

Within the achieved survey, the authors started from the reality according to which risks management must be prudently achieved, such way not to lead to severe consequences at the sovereign liability’s level. The major risks encountered in sovereign liability’s management are herein...