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Author: Moorad Choudhry
Publisher: John Wiley & Sons
ISBN: 1118177215
Category : Business & Economics
Languages : en
Pages : 1444
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Book Description
Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis. Highlights of the book include detailed coverage of: Liquidity, gap and funding risk management Hedging using interest-rate derivatives and credit derivatives Impact of Basel II Securitisation and balance sheet management Structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM Treasury operations and group transfer pricing. Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators, and graduate students in banking and finance. Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.
Author: Moorad Choudhry
Publisher: John Wiley & Sons
ISBN: 1118177215
Category : Business & Economics
Languages : en
Pages : 1444
Get Book Here
Book Description
Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis. Highlights of the book include detailed coverage of: Liquidity, gap and funding risk management Hedging using interest-rate derivatives and credit derivatives Impact of Basel II Securitisation and balance sheet management Structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM Treasury operations and group transfer pricing. Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators, and graduate students in banking and finance. Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.
Author: Polina Bardaeva
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 311066660X
Category : Business & Economics
Languages : en
Pages : 162
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Book Description
As bankers incorporate more and more complicated and precise calculations and models, a solely mathematical approach will fail to confirm the viability of their business. This book explains how to combine ALM concepts with the emotional intelligence of managers in order to maintain the financial health of a bank, and quickly react to external environment challenges and banks’ microclimate changes. ALM embraces not only balance sheet targets setting, instruments and methodologies to achieve the targets, but also the correct and holistic understanding of processes that should be set up in a bank to prove its prudency and compliance with internal and external constraints, requirements and limitations and the ongoing continuity of its operations. Bank Asset Liability Management Best Practice delves into the philosophy of ALM, discusses the interrelation of processes inside the bank, and argues that every little change in one aspect of the bank processes has an impact on its other parts. The author discusses the changing role of ALM and its historical and current concepts, its strengths and weaknesses, and future threats and opportunities.
Author: Beata Lubinska
Publisher: John Wiley & Sons
ISBN: 1119635489
Category : Business & Economics
Languages : en
Pages : 244
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Book Description
An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit. Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book. ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM. A description of the Funds Transfer Pricing (FTP) process related to a bank’s target position Detailed examinations of interest rate risk in the banking book (IRRBB) Discussion of Basel III regulatory requirements and maturity gap analysis Overview of customer behavior, along with its impact on interest rate and liquidity risk Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits) Explorations of model risk, sensitivity analysis, and case studies The optimization techniques found in Asset Liability Management Optimization can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.
Author: Alexandre Adam
Publisher: John Wiley & Sons
ISBN: 9780470724118
Category : Business & Economics
Languages : en
Pages : 576
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Book Description
In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.
Author: Pooya Farahvash
Publisher: John Wiley & Sons
ISBN: 1119701880
Category : Business & Economics
Languages : en
Pages : 1056
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Book Description
Asset-Liability and Liquidity Management distils the author’s extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author’s own experience in the industry. The author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses. Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including: The fundamentals of analytical finance Detailed explanations of financial valuation models for a variety of products The principle of economic value of equity and value-at-risk The principle of net interest income and earnings-at-risk Liquidity risk Funds transfer pricing A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.
Author: G. Mitra
Publisher: Springer
ISBN: 023030723X
Category : Business & Economics
Languages : en
Pages : 547
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Book Description
Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.
Author: Jean Dermine
Publisher: Financial Times/Prentice Hall
ISBN: 9780273710011
Category : Asset-liability management
Languages : en
Pages : 0
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Book Description
Written for a general business audiance, this is the first book on asset and liability management that emphasises both value creation and risk control.
Author: Marine Corlosquet-Habart
Publisher: John Wiley & Sons
ISBN: 1119184614
Category : Mathematics
Languages : en
Pages : 170
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Book Description
This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and contrast these methodologies to draw parallels between the commonalities and divergences of these two services and thereby provide a deeper understanding of ALM in general.
Author: John W. Bitner
Publisher: Wiley
ISBN: 9780471527312
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
Two "virtuosos of risk management" show you how to close up theholes in your gap defenses--before the regulators call! BankersMonthly dubbed them "virtuosos of risk management.[who have] raisedA/L management to an art." And this hands-on approach toasset/liability management from Bitner and Goddard is exactly whatyou'd expect from such banking leaders. It's the first true actionbook in the field moving beyond simple gap analysis, theory, andfundamentals to show you how to apply the full range of today'ssophisticated A/L management techniques--and comply with the latestbanking regulations. You'll find. * Full discussions of interest rate exposures not measured by gap,but of vital interest to institutions and regulators alike: basisrisk (the difference in the change of interest rates betweeninstruments of identical maturities) and imbedded options (loanpayoffs and early deposit withdrawals) * Helpful and informative insights from leading A/L managementpractitioners, consultants, and software developers Whether you're involved with a commercial bank, savings and loanassociation, or credit union, you can't afford to ignore the gap inyour institution's risk defenses any longer. Put the "virtuosos ofrisk management" to work today.
Author: Bob Swarup
Publisher: A&C Black
ISBN: 1849300410
Category : Business & Economics
Languages : en
Pages : 224
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Book Description
The asset liability management (ALM) of a financial institution requires informed decisions coupled with strategy in order to meet financial objectives. Combined with a range of risks and constraints, effective ALM requires the formulation, implementation, monitoring and revision of strategies on a daily basis. Asset liability management in the banking industry has come to the fore since the beginning of the Credit Crunch in mid 2007, with overexposed financial institutions collapsing or being propped up by governments and taxpayers ultimately footing the bill. The evidence suggests that the pain is not over with banks lacking commitment and confidence in terms of lending in Europe and the US. Without mending the balance sheet and formulating new strategies, few banks will be able to commit to new opportunities and become takers of qualified risk in the near future. Aimed primarily at risk managers/analysts within financial institutions, but also of significant interest to treasurers, pension fund managers, auditors, controllers, regulators, legal and compliance, Asset Liability Management for Financial Institutions helps build the knowledge base with a back-to-basics approach, in the context of the turmoil in the banking sector. This multi-author volume covers key areas such as fund transfer pricing product, problem-loan assumptions, understanding and applying funds transfer pricing, derivatives, measuring interest rate risk, stress testing and modeling of market risk.
