By Moorad Choudhry
Banks are an integral part of the worldwide economic system, and the essence of banking is asset-liability administration (ALM). This ebook is a accomplished remedy of a big monetary industry self-discipline. A reference textual content for all these interested by banking and the debt capital markets, it describes the concepts, items and paintings of ALM. topics lined contain financial institution capital, funds marketplace buying and selling, possibility administration, regulatory capital and yield curve research.
Highlights of the booklet comprise precise assurance of:
- liquidity, hole and investment possibility 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 responsibilities and dependent funding autos, and their position in ALM
- treasury operations and crew move pricing.
Concepts and strategies are illustrated with case stories and labored examples. Written in obtainable kind, this publication is key interpreting for marketplace practitioners, financial institution regulators and graduate scholars in banking and finance.
Includes loose CD-ROM that includes software program on functions defined within the e-book, together with a yield curve version, cubic spline spreadsheet calculator and CDO waterfall model.
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