Bank Asset And Liability Management

Author : Moorad Choudhry
Publisher : John Wiley & Sons
Page : 1444 pages
File Size : 55,7 Mb
Release : 2011-12-27
Category : Business & Economics
ISBN : 9781118177211

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Bank Asset and Liability Management by Moorad Choudhry Pdf

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.

Author : Hong Kong Institute of Bankers (HKIB)
Publisher : John Wiley & Sons
Page : 368 pages
File Size : 46,9 Mb
Release : 2018-01-18
Category : Business & Economics
ISBN : 9780470827550

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Bank Asset and Liability Management by Hong Kong Institute of Bankers (HKIB) Pdf

An in-depth look at how banks and financial institutions manage assets and liabilities Created for banking and finance professionals with a desire to expand their management skillset, this book focuses on how banks manage assets and liabilities, set up governance structures to minimize risks, and approach such critical areas as regulatory disclosures, interest rates, and risk hedging. It was written by the experts at the world-renowned Hong Kong Institute of Bankers, an organization dedicated to providing the international banking community with education and training. Explains bank regulations and the relationship with monetary authorities, statements, and disclosures Considers the governance structure of banks and how it can be used to manage assets and liabilities Offers strategies for managing assets and liabilities in such areas as loan and investment portfolios, deposits, and funds Explores capital and liquidity, including current standards under Basel II and Basel III, funding needs, and stress testing Presents guidance on managing interest rate risk, hedging, and securitization

Author : Jerry Hartzog
Publisher : Unknown
Page : 28 pages
File Size : 44,6 Mb
Release : 1983
Category : Bank management
ISBN : UCLA:L0050726454

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Asset/liability Management by Jerry Hartzog Pdf

Author : Polina Bardaeva
Publisher : Walter de Gruyter GmbH & Co KG
Page : 162 pages
File Size : 47,9 Mb
Release : 2021-04-19
Category : Business & Economics
ISBN : 9783110666601

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Bank Asset Liability Management Best Practice by Polina Bardaeva Pdf

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.

Author : Beata Lubinska
Publisher : John Wiley & Sons
Page : 244 pages
File Size : 47,6 Mb
Release : 2020-04-20
Category : Business & Economics
ISBN : 9781119635482

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Asset Liability Management Optimisation by Beata Lubinska Pdf

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.

Author : G. Mitra,K. Schwaiger
Publisher : Springer
Page : 515 pages
File Size : 42,8 Mb
Release : 2011-03-29
Category : Business & Economics
ISBN : 9780230307230

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Asset and Liability Management Handbook by G. Mitra,K. Schwaiger Pdf

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.

Author : Hennie van Greuning,Sonja Brajovic Bratanovic
Publisher : World Bank Publications
Page : 399 pages
File Size : 45,6 Mb
Release : 2020-06-10
Category : Business & Economics
ISBN : 9781464815188

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Analyzing Banking Risk (Fourth Edition) by Hennie van Greuning,Sonja Brajovic Bratanovic Pdf

Analyzing Banking Risk: A Framework for Assessing Corporate Governance and Risk Management provides a comprehensive overview of topics focusing on assessment, analysis, and management of financial risks in banking. The publication emphasizes risk management principles and stresses that key players in the corporate governance process are accountable for managing the different dimensions of financial and other risks. This fourth edition remains faithful to the objectives of the original publication. It covers new business aspects affecting banking risks, such as mobile banking and regulatory changes over the past decade—specifically those related to Basel III capital adequacy concepts—as well as new operational risk management topics such as cybercrime, money laundering, and outsourcing. This publication will be of interest to a wide body of users of bank financial data. The target audience includes the persons responsible for the analysis of banks and for the senior management or organizations directing their efforts. Because the publication provides an overview of the spectrum of corporate governance and risk management, it is not aimed at technical specialists of any particular risk management area. *** Hennie van Greuning was formerly a Senior Adviser in the World Bank’s Treasury Unit and previously worked as a sector manager for financial sector operations in the World Bank. He has been a partner in a major international accounting firm and a controller and head of bank supervision in a central bank. Since retiring from the World Bank, he has chaired audit, ethics, and risk committees in various banks and has been a member of operational risk and asset-liability management committees. Sonja Brajovic Bratanovic was a Lead Financial Sector Specialist at the World Bank, after a career as a senior official in a central bank. With extensive experience in banking sector reforms and financial risk analysis, she led World Bank programs for financial sector reforms, as well as development projects. Since her retirement, she has continued as a senior consultant for World Bank development projects in the financial sector, as well as an advisor for other development institutions.

Author : Mona J. Gardner,Dixie L. Mills
Publisher : Houghton Mifflin
Page : 1006 pages
File Size : 42,9 Mb
Release : 1994
Category : Asset-liability management
ISBN : UCLA:L0073709354

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Managing Financial Institutions by Mona J. Gardner,Dixie L. Mills Pdf

The fourth edition of Managing Financial Institutions: An Asset/Liability Approach provides comprehensive coverage of asset and liability management techniques for depository institutions, finance companies, insurance companies, pension funds, mutual funds, securities firms, and diversified financial services firms, all of which operate in an increasingly competitive environment. The text is suitable for use in courses on financial institutions and commercial bank management.

Author : Anonim
Publisher : FinanceTrainingCourse.com
Page : 185 pages
File Size : 52,9 Mb
Release : 2014-08-05
Category : Business & Economics
ISBN : 8210379456XXX

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Asset Liability Management. 3rd Edition by Anonim Pdf

The book begins with a description of how the revenue generation mechanism of a bank works. Asset liability management (ALM) and associated interest rate and liquidity risks are defined and other measures such as duration and convexity are calculated. In order to understand the various yield curve shapes, shifts and outlooks, a review of the historical US yield term structures is conducted. This is followed by a look at various ALM strategies, in view of future expected interest rate outlooks, and their impact on the maturity distributions of assets & liabilities of banks. Next, the various assumptions used in an ALM model are assessed, followed by an explanation of price and rate gaps with some basic illustrations to understand the concepts of net interest income at risk and market value at risk. ALM reports profile cash flows by maturity or reset buckets. A methodology for building maturity and liquidity profiles for banks’ advances and deposits portfolios using the Pivot table & chart functionality in EXCEL is discussed. Step by step methodologies for various ALM measurement tools follow. These include Fall in Market Value of Equity, Earnings at Risk, Cost to Close liquidity gap, Cost to Close interest rate gap, Rate Sensitive Gap, Duration Gap. An overview of other ALM reports such as price sensitive gap, net interest income (NII) and liquidity gap is given. Applications for explaining immunization and portfolio dedication are presented. An EXCEL Solver based fixed income portfolio optimization model is discussed and scenarios for minimizing duration and maximizing convexity of the portfolio are presented. A discussion of liquidity risk management measures including ratios and analyses for measuring liquidity risk, limits for managing the risk, general and specific requirements for developing a contingency funding plan and liquidity enhancement tactics for company specific and systemic crisis. A methodology for stress testing liquidity using a Value at Risk (VaR) based approach for a fixed income portfolio is also discussed. The book concludes with a case-study for assessing why bank regulations fail. This simulation results based study looks at the efficacy of Capital Adequacy Ratio (CAR) as an indicator of bank performance and seeks to identify a more valuable leading indicator or target account for monitoring bank performance and health.

Author : Jean Dermine,Youssef F. Bissada
Publisher : Financial Times/Prentice Hall
Page : 0 pages
File Size : 49,5 Mb
Release : 2007
Category : Asset-liability management
ISBN : 027371001X

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Asset and Liability Management by Jean Dermine,Youssef F. Bissada Pdf

Written for a general business audiance, this is the first book on asset and liability management that emphasises both value creation and risk control.

Author : Marine Corlosquet-Habart,William Gehin,Jacques Janssen,Raimondo Manca
Publisher : John Wiley & Sons
Page : 170 pages
File Size : 55,5 Mb
Release : 2015-09-21
Category : Mathematics
ISBN : 9781848218833

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Asset and Liability Management for Banks and Insurance Companies by Marine Corlosquet-Habart,William Gehin,Jacques Janssen,Raimondo Manca Pdf

This 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 : Prapti Gindodiya
Publisher : Unknown
Page : 264 pages
File Size : 44,7 Mb
Release : 2006-05-20
Category : Electronic
ISBN : 8131401375

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Asset-Liability Management In Banks: Concepts And Cases by Prapti Gindodiya Pdf

Asset-liability management is designed to earn an adequate return while maintaining a comfortable surplus of assets over liabilities. In today s banking scenario, the scope of banks has been extended from mere acceptance of deposits and lending of loans t

Author : Hong Kong Institute of Bankers (HKIB)
Publisher : John Wiley & Sons
Page : 368 pages
File Size : 55,5 Mb
Release : 2018-01-18
Category : Business & Economics
ISBN : 9780470827567

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Bank Asset and Liability Management by Hong Kong Institute of Bankers (HKIB) Pdf

An in-depth look at how banks and financial institutions manage assets and liabilities Created for banking and finance professionals with a desire to expand their management skillset, this book focuses on how banks manage assets and liabilities, set up governance structures to minimize risks, and approach such critical areas as regulatory disclosures, interest rates, and risk hedging. It was written by the experts at the world-renowned Hong Kong Institute of Bankers, an organization dedicated to providing the international banking community with education and training. Explains bank regulations and the relationship with monetary authorities, statements, and disclosures Considers the governance structure of banks and how it can be used to manage assets and liabilities Offers strategies for managing assets and liabilities in such areas as loan and investment portfolios, deposits, and funds Explores capital and liquidity, including current standards under Basel II and Basel III, funding needs, and stress testing Presents guidance on managing interest rate risk, hedging, and securitization

Author : John W. Bitner,Robert A. Goddard
Publisher : Wiley
Page : 0 pages
File Size : 48,8 Mb
Release : 1992-08-04
Category : Business & Economics
ISBN : 0471527319

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Successful Bank Asset/Liability Management by John W. Bitner,Robert A. Goddard Pdf

Two "virtuosos of risk management" show you how to close up theholes in your gap defenses--before the regulators call! BankersMonthly dubbed them "virtuosos of risk management.[who have] raisedA/L management to an art." And this hands-on approach toasset/liability management from Bitner and Goddard is exactly whatyou'd expect from such banking leaders. It's the first true actionbook in the field moving beyond simple gap analysis, theory, andfundamentals to show you how to apply the full range of today'ssophisticated A/L management techniques--and comply with the latestbanking regulations. You'll find. * Full discussions of interest rate exposures not measured by gap,but of vital interest to institutions and regulators alike: basisrisk (the difference in the change of interest rates betweeninstruments of identical maturities) and imbedded options (loanpayoffs and early deposit withdrawals) * Helpful and informative insights from leading A/L managementpractitioners, consultants, and software developers Whether you're involved with a commercial bank, savings and loanassociation, or credit union, you can't afford to ignore the gap inyour institution's risk defenses any longer. Put the "virtuosos ofrisk management" to work today.

Author : Marine Corlosquet-Habart,William Gehin,Jacques Janssen,Raimondo Manca
Publisher : John Wiley & Sons
Page : 166 pages
File Size : 42,7 Mb
Release : 2015-08-05
Category : Mathematics
ISBN : 9781119184553

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Asset and Liability Management for Banks and Insurance Companies by Marine Corlosquet-Habart,William Gehin,Jacques Janssen,Raimondo Manca Pdf

This 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.