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Author: Leo M. Tilman
Publisher: Euromoney Books
Published: 2003
Total Pages: 386
ISBN-13: 9781843741244
DOWNLOAD EBOOKAs a guide to Assel/Liability Management (ALM) across financial institutions, this book is useful in developing consistent frameworks for risk management.
Author: Beata Lubinska
Publisher: John Wiley & Sons
Published: 2020-04-20
Total Pages: 244
ISBN-13: 1119635489
DOWNLOAD EBOOKAn 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: Bob Swarup
Publisher: Bloomsbury Publishing
Published: 2012-05-24
Total Pages: 224
ISBN-13: 1849300585
DOWNLOAD EBOOKEffective asset-liability management (ALM) of a financial institution requires making informed strategic and operational decisions. Ever more important in the wake of the corporate bailouts and collapses of the financial crisis, ALM encompasses the formulation, implementation, monitoring, and revision of strategies, often on a daily basis due to the fast-moving nature of the related risks and constraints. This approachable book features up-to-date practitioner and academic perspectives to provide you with the knowledge you need. Key foundation information is backed up by the latest research and thought leadership to form a comprehensive guide to ALM for today and into the future, with case studies and worked examples. Detailed coverage includes: * Successful risk management frameworks * Coherent stress-testing * Modeling market risk * Derivatives and ALM * Contingency funding to manage liquidity risks * Basel III capital adequacy standard * Investment management for insurers * Property and casualty portfolio management * Funds transfer pricing * Problem loan modeling
Author: Moorad Choudhry
Publisher: John Wiley & Sons
Published: 2011-12-27
Total Pages: 1444
ISBN-13: 1118177215
DOWNLOAD EBOOKBanks 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: Mona J. Gardner
Publisher:
Published: 1988
Total Pages: 824
ISBN-13:
DOWNLOAD EBOOKAuthor: Polina Bardaeva
Publisher: Walter de Gruyter GmbH & Co KG
Published: 2021-04-19
Total Pages: 162
ISBN-13: 311066660X
DOWNLOAD EBOOKAs 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: Marine Corlosquet-Habart
Publisher: John Wiley & Sons
Published: 2015-08-05
Total Pages: 170
ISBN-13: 1119184614
DOWNLOAD EBOOKThis 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: G. Mitra
Publisher: Springer
Published: 2011-03-29
Total Pages: 547
ISBN-13: 023030723X
DOWNLOAD EBOOKRecent 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: T. Ravi Kumar
Publisher:
Published: 2005-03
Total Pages: 0
ISBN-13: 9788170943525
DOWNLOAD EBOOKThe face of Indian financial sector changed forever with the initiation of economic reforms in 1991. Deregulation and integration has led Indian banks and financial institutions into competition both on the assets side as well as the liabilities side of the balance sheet, forcing them to assume greater and newer risks in their quest for higher returns. Accordingly, the need for bankers to be familiar with the risks to which they are exposed and the tools available for managing such risks assumes vital significance. The US savings and loan crisis in the early 1980s and the Asian crisis of the late 1990s strongly underscored the dangers confronting banks and financial institutions which choose to ignore the implications of interest rate risk and liquidity risk. Asset-liability management (ALM) provides a macro-level framework and a sophisticated tool for modern risk management in banks. This is an authoritative work on the fundamentals of ALM. The book commences with an introduction to the types of risks confronting banks and goes on to describe the concept, rationale and implementation of asset-liability management
Author: Jerry Hartzog
Publisher:
Published: 1983
Total Pages: 28
ISBN-13:
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