Bank Asset and Liability Management :Strategy, Trading, Analysis

4.05 ( 42 Ratings by Goodreads)
Bank Asset and Liability Management

Bank Asset and Liability Management :Strategy, Trading, Analysis

(Author) (Author)
4.05 (42 Ratings by Goodreads)
hardback
Published: 25 May, 2007
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Description

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.

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More Details

Type Book
ISBN13 9780470821350
ISBN10 0470821353
Number Of Pages 1440
Item Weight 1701 g
Product Dimensions 158 x 231 x 64 mm
Publisher / Reseller John Wiley & Sons Inc
Format hardback
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Author's Bio

Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance with JPMorgan Chase Bank.
Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Fellow of the Securities Institute in the City of London. He is co-editor with Professor Frank Fabozzi of The Handbook of European Fixed Income Securities.

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