Bank Asset and Liability Management: Strategy, Trading, Analysis

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John Wiley & Sons, Apr 13, 2007 - Business & Economics - 1440 pages
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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.

Includes free CD-ROM that contains software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.

 

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Contents

Financial statements and ratio analysis
29
The money markets
47
The bond instrument
133
Bank treasury assetliability management
209
Assetliability management II
247
ALM trading principles
305
The ALCO
327
The yield curve
339
securitisation and structured credit vehicles
881
Introduction to securitisation
887
Structured synthetic and repackaged funding vehicles
921
Mortgagebacked securities and covered bonds
961
Assetbacked securities
999
Collateralised debt obligations
1021
Synthetic collateralised debt obligations
1059
Synthetic mortgagebacked securities
1139

The determinants of the swap spread
451
Introduction to relative spread analysis
477
Financial instruments applications and hedging
491
Money market derivatives
539
Interestrate swaps and overnightindex swaps
625
Hedging using bond futures contracts
713
Credit risk and credit derivatives
745
ValueatRisk VaR and credit VaR
833
Structured investment vehicles
1147
Bank regulatory capital
1161
A primer on Basel II
1195
Treasury middle office operations
1241
Applications software enclosed with the book
1261
Appendix Financial markets arithmetic
1277
Glossary
1315
Index
1383

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About the author (2007)

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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