By Moorad Choudhry
Banks are an integral part of the worldwide economic system, and the essence of banking is asset-liability administration (ALM). This e-book is a complete therapy of an immense monetary industry self-discipline. A reference textual content for all these inquisitive about banking and the debt capital markets, it describes the strategies, items and paintings of ALM. topics coated contain financial institution capital, cash marketplace buying and selling, chance administration, regulatory capital and yield curve analysis.
Highlights of the e-book contain designated insurance of:
- liquidity, hole and investment possibility management
- hedging utilizing interest-rate derivatives and credit derivatives
- impact of Basel II
- securitisation and stability sheet management
- structured finance items together with asset-backed advertisement paper, mortgage-backed securities, collateralised debt duties and based funding cars, and their position in ALM
- treasury operations and team move pricing.
Concepts and strategies are illustrated with case reports and labored examples. Written in obtainable variety, this booklet is key studying for industry practitioners, financial institution regulators and graduate scholars in banking and finance.
Includes unfastened CD-ROM that comprises software program on functions defined within the booklet, together with a yield curve version, cubic spline spreadsheet calculator and CDO waterfall version.
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Additional resources for Bank Asset and Liability Management: Strategy, Trading, Analysis
Richard Pereira of JPMorgan Chase and Jaffar Hussein of the Saudi National Commercial Bank, and my grateful thanks to them. The accompanying CD-R features software co-written with Kevin Zhuoshi Liu, Rod Pienaar, Suleman Baig, Abukar Ali, Stuart Turner and Didier Joannas, and again my grateful thanks to them. As ever, the intention is to remain accessible and practical throughout. We hope this aim has been achieved. Comments on the text are most welcome and should be sent to the author care of John Wiley & Sons (Asia) Ltd.
For the ALM desk in a bank, the cash assets and liabilities are king and must be managed prudently. That there is more to this than may meet the eye is apparent immediately from the thickness of this book! Let us set the scene further with some discussion on banks. Introduction Banking operations encompass a wide range of activities, all of which contribute to the asset and liability profile of a bank. 1 shows selected banking activities, and the type of risk exposure they represent. The terms used in the table, such as “market risk”, are explained elsewhere in this book.
Mark Williams (Director) and Wei Lieh Goh Hedge Fund Derivatives KBC Financial Products, London “A complete representation of the asset–liability management challenge facing the bank risk manager, the best practice to deploy and the mitigating tools available. ” Remi Bola Chief Operating Officer Asset Backed Solutions The Law Debenture Corporation plc “A highly readable text which serves as an essential primer for both market practitioners and academics alike to help understand the rapidly evolving risk management techniques used by Treasury and Money Market desks.
Bank Asset and Liability Management: Strategy, Trading, Analysis by Moorad Choudhry