Essays on Asset Allocation and Asset/liability Management
Author: Yesim Tokat
Publisher:
Published: 2002
Total Pages: 304
ISBN-13:
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Author: Yesim Tokat
Publisher:
Published: 2002
Total Pages: 304
ISBN-13:
DOWNLOAD EBOOKAuthor: Lidia Bolla
Publisher:
Published: 2016
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: Florian Klein
Publisher:
Published: 2019
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: David Frederik Schrager
Publisher: Rozenberg Publishers
Published: 2007
Total Pages: 195
ISBN-13: 9051709455
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Publisher:
Published: 2021
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: Thomas Berry-Stölzle
Publisher:
Published: 2007
Total Pages: 152
ISBN-13:
DOWNLOAD EBOOKAuthor: Thomas Berry-Stölzle
Publisher:
Published: 2007
Total Pages: 152
ISBN-13:
DOWNLOAD EBOOKAuthor: William T. Ziemba
Publisher: Cambridge University Press
Published: 1998-11-12
Total Pages: 688
ISBN-13: 9780521571876
DOWNLOAD EBOOKThe underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.
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: Jerry Hartzog
Publisher:
Published: 1983
Total Pages: 28
ISBN-13:
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