By Moorad Choudhry
Banks are an essential component of the worldwide economic system, and the essence of banking is asset-liability administration (ALM). This publication is a entire therapy of a massive monetary industry self-discipline. A reference textual content for all these concerned with banking and the debt capital markets, it describes the thoughts, items and paintings of ALM. matters coated contain financial institution capital, cash industry buying and selling, probability administration, regulatory capital and yield curve analysis.
Highlights of the e-book contain unique assurance of:
- liquidity, hole and investment hazard 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 tasks and established funding cars, and their function in ALM
- treasury operations and workforce move pricing.
Concepts and methods are illustrated with case experiences and labored examples. Written in obtainable variety, this e-book is vital examining for industry practitioners, financial institution regulators and graduate scholars in banking and finance.
Includes loose CD-ROM that includes software program on purposes defined within the ebook, together with a yield curve version, cubic spline spreadsheet calculator and CDO waterfall version.
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Extra resources for Bank Asset and Liability Management: Strategy, Trading, Analysis
The first records of banks come from Ancient Greece. Many private and civic entities conducted various financial transactions in the temple banks. These included loans, deposits, currency exchanges and coin validation. There is also evidence of credit, which was when a Greek port would write a credit note in exchange for the payment of a client. The port would hold the money in the temple for the customer who paid him the money, and he could collect the money in another city when he cashed in the credit note.
Foreword Asset and liability management (ALM) is a key aspect of risk management in the financial services industry. The business of financial services firms is risk and return, using their skills in the measurement of risks to make profits. In modern finance, this often involves using complex products. The types of risks taken by firms are often complex and hidden, reflecting the financial products on offer and the wider marketplace. As such, when analysing risks, it is important to think about the firm’s balance sheet holistically.
Lee Ka Shao Managing Director, Head of Investments DBS Bank Limited, Singapore Copyright © 2007 Moorad Choudhry Published in 2007 by John Wiley & Sons (Asia) Pte Ltd 2 Clementi Loop, #02-01, Singapore 129809 All rights reserved. No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except as expressly permitted by law, without either the prior written permission of the Publisher, or authorization through payment of the appropriate photocopy fee to the Copyright Clearance Center.