Asset Liability And Liquidity Management
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Asset Liability And Liquidity Management
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Author : Pooya Farahvash
language : en
Publisher: John Wiley & Sons
Release Date : 2020-06-16
Asset Liability And Liquidity Management written by Pooya Farahvash and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-16 with Business & Economics categories.
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.
Asset And Liability Management Handbook
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Author : G. Mitra
language : en
Publisher: Springer
Release Date : 2011-03-29
Asset And Liability Management Handbook written by G. Mitra and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-29 with Business & Economics categories.
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.
Asset Liability Management Optimisation
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Author : Beata Lubinska
language : en
Publisher: John Wiley & Sons
Release Date : 2020-04-20
Asset Liability Management Optimisation written by Beata Lubinska and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-20 with Business & Economics categories.
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.
Bank Asset And Liability Management
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Author : Moorad Choudhry
language : en
Publisher: John Wiley & Sons
Release Date : 2011-12-27
Bank Asset And Liability Management written by Moorad Choudhry and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12-27 with Business & Economics categories.
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.
Handbook Of Asset And Liability Management
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Author : Alexandre Adam
language : en
Publisher: Wiley
Release Date : 2007-12-10
Handbook Of Asset And Liability Management written by Alexandre Adam and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-10 with Business & Economics categories.
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.
Asset And Liability Management
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Author : Jean Dermine
language : en
Publisher: Financial Times/Prentice Hall
Release Date : 2007
Asset And Liability Management written by Jean Dermine and has been published by Financial Times/Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Asset-liability management categories.
Written for a general business audiance, this is the first book on asset and liability management that emphasises both value creation and risk control.
Handbook Of Alm In Banking
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Author : Andreas Bohn
language : en
Publisher:
Release Date : 2014
Handbook Of Alm In Banking written by Andreas Bohn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Bank management categories.
In recent years, there has been increased focus on the universal banking model as well as new regulations focusing on asset and liability management (ALM) practices. In an environment of low interest rates and expansionary monetary policy, there is increased competition around loan and deposit businesses, as well as moves to integrate trading book assets and liabilities into the ALM framework. Consequently, ALM is at the top of banks agendas. Edited by industry experts Andreas Bohn and Marije Elkenbracht-Huizing, The Handbook of ALM in Banking brings together key contributions from those implementing new ALM frameworks in light of these latest developments. The book examines the intricacies of loans and deposits in the context of revisions to statutory deposit protection schemes. It also assesses the demands on banks liquidity reserves and collateral, as well as funding implications. The increased regulatory focus on earnings at risk and on capital and balance sheet consumption is also under the spotlight, with the book clarifying issues on funds transfer pricing, capital management and balance sheet requirements. The Handbook of ALM in Banking provides a full overview of methods and methodologies being applied in cutting-edge ALM management. This book is a must-read for ALM managers, risk managers, balance sheet managers, accountants, treasurers.
Bank Asset Liability Management Best Practice
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Author : Polina Bardaeva
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2021-04-19
Bank Asset Liability Management Best Practice written by Polina Bardaeva and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-04-19 with Business & Economics categories.
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.
Liquidity Risk
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Author : E. Banks
language : en
Publisher: Springer
Release Date : 2004-09-24
Liquidity Risk written by E. Banks and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-09-24 with Business & Economics categories.
Much critical attention has been given in recent years to market and credit risks, which have a significant effect on corporate and financial operations and must be understood and managed with care. While these areas have rightly received considerable scrutiny, another critical dimension of financial risk - based on corporate liquidity - has been largely overlooked. Liquidity risk is the risk of loss arising from an inability to quickly realise asset value or obtain funding and can be damaging if not properly considered or actively managed. Lack of liquidity can lead to large losses in asset/liability portfolios and off balance sheet activities and in extreme cases can trigger financial distress and insolvency. Liquidity Risk is a comprehensive treatment of the topic focusing on the nature of the risk, problems that arise in asset and funding liquidity and mechanisms that can be developed to monitor, measure and control such risks.
Asset Liability Management For Financial Institutions
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Author : Bob Swarup
language : en
Publisher: A&C Black
Release Date : 2012-05-24
Asset Liability Management For Financial Institutions written by Bob Swarup and has been published by A&C Black this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-24 with Business & Economics categories.
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.