La Gestion Actif Passif Alm Du Risque De Liquidite Bancaire

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La Gestion Actif-Passif (ALM) du risque de liquidité bancaire

Author : Abdeslam Benati
Publisher : Editions Universitaires Europeennes
ISBN 13 : 9783841743961
Total Pages : 100 pages
Book Rating : 4.7/5 (439 download)

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Book Synopsis La Gestion Actif-Passif (ALM) du risque de liquidité bancaire by : Abdeslam Benati

Download or read book La Gestion Actif-Passif (ALM) du risque de liquidité bancaire written by Abdeslam Benati and published by Editions Universitaires Europeennes. This book was released on 2014-12-29 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aujourd'hui, comme lecon de la crise financiere et economique de 2007-2009, les banques doivent adopter une demarche tres rigoureuse pour le risque de liquidite. Cependant, devant la largeur et la complexite du domaine de la gestion de liquidite et du risque de liquidite, il plus que necessaire pour les banques d'etre au courant des evolutions et suivre toutes les informations susceptibles de les renseigner sur le comportement des differents acteurs qui ont un impact direct ou indirect sur leurs bilans, leurs situations de liquidite et l'etat futur des marches. Apparue aux Etats-Unis au debut des annees quatre-vingt, la gestion actif-passif est aujourd'hui reconnue, dans l'ensemble des etablissements financiers, comme un outil indispensable d'une gestion performante du risque de liquidite.

Pilotage bancaire avec options comportementales

Author : Cyril Martin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (87 download)

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Book Synopsis Pilotage bancaire avec options comportementales by : Cyril Martin

Download or read book Pilotage bancaire avec options comportementales written by Cyril Martin and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Ce travail se situe dans le cadre de la gestion des risques bancaires. La gestion des risques de taux et de liquidité constitue un pôle de la gestion des risques appelé ALM (Asset and Liability Management), ou gestion actif-passif. La gestion actif-passif s'est extrêmement développée depuis les années 80 suite à la crise des caisses d'épargne américaines. Certains postes du bilan restent néanmoins peu étudiés comme les plans d'épargne-logement et les dépôts à vue malgré l'importance que ces postes représentent. Les deux premières parties de cette thèse visent à proposer, pour ces deux postes du bilan, des modélisations répondant aux problèmes de l'évolution future des encours et de la valorisation de ces postes. La difficulté de ces modélisations est liée à la prise en compte de l'aspect comportemental des clients. Ces deux postes du bilan sont soumis au comportement des clients à différents points de vue: le client peut, en effet, retirer ses fonds à tout moment de son compte courant ou encore utiliser ses droits à prêts dans le plan d'épargne-logement lorsque les taux sont avantageux pour lui. Nous qualifions ces libertés d'options comportementales dans la mesure où le client n'exerce pas ces options de façon optimale au sens financier. La dernière partie de la thèse s'est attachée à appréhender la gestion de la banque de façon globale en proposant un pilotage de la banque dans des visions simplifiées du monde bancaire mettant en jeu les options comportementales des clients.

Gestion actif-passif

Author : Denis Latulippe
Publisher : Presses de l'Université Laval
ISBN 13 : 276375452X
Total Pages : 354 pages
Book Rating : 4.7/5 (637 download)

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Book Synopsis Gestion actif-passif by : Denis Latulippe

Download or read book Gestion actif-passif written by Denis Latulippe and published by Presses de l'Université Laval. This book was released on 2022-02-28T00:00:00-05:00 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: La gestion actif-passif est indispensable pour les établissements financiers et les fonds fiduciaires investissant sur les marchés. Au cœur de cette pratique se trouve la prise de décisions de placements en cohérence avec les engagements et les objectifs stratégiques des institutions. Le présent ouvrage en propose un tour d’horizon complet, abordant les questions d’ordre financier, institutionnel, mathématique, légal et normatif. Les crises économiques, financières et institutionnelles des 40 dernières années constituent le point d’ancrage de ce livre, qui présente de nombreux exemples et des cas réels. Il se veut un outil de référence à la fois pour les étudiants universitaires et les intervenants du milieu qui doivent élargir leur champ d’expertise pour contribuer à une saine gestion et à une gouvernance renforcée.

Manuel de Gestion Actif-Passif

Author : serge moulin
Publisher :
ISBN 13 : 9781794888357
Total Pages : 0 pages
Book Rating : 4.8/5 (883 download)

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Book Synopsis Manuel de Gestion Actif-Passif by : serge moulin

Download or read book Manuel de Gestion Actif-Passif written by serge moulin and published by . This book was released on 2021-10-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Avec la publication du texte de Bâle BCBS d368 sur le risque de taux, la gestion actif/passif a connu une véritable révolution. La directive d'avril 2016 (" IRRBB ") a en effet traduit dans la réglementation la nécessité de mettre en oeuvre une double approche entre la stabilisation de la valeur économique de la banque (l'« EVE ») et la modélisation dynamique de sa marge nette d'intérêt (« NIM »). Pour cela, le régulateur a défini des critères de rigueur et de qualité tels qu'ils ont donné naissance à une spécialité à part entière au sein des directions financières. Cela était devenu une nécessité suite aux nombreux accidents de gestion de bilans bancaires de ces dernières années. Ce manuel a pour objectif de donner les bases théoriques et pratiques de la gestion actif-passif de façon synthétique et rigoureuse. Le livre s'adresse à tous les praticiens de la finance : trésorier, directeur financier, responsable de gestion financière, d'actif/passif, de gestion des risques, conseiller financier...

Gestion des risques et gestion actif-passif des banques

Author : Joël Bessis
Publisher : Dalloz-Sirey
ISBN 13 : 9782247020522
Total Pages : 574 pages
Book Rating : 4.0/5 (25 download)

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Book Synopsis Gestion des risques et gestion actif-passif des banques by : Joël Bessis

Download or read book Gestion des risques et gestion actif-passif des banques written by Joël Bessis and published by Dalloz-Sirey. This book was released on 1995 with total page 574 pages. Available in PDF, EPUB and Kindle. Book excerpt: Il convient aujourd'hui de dresser un bilan des techniques et méthodes de gestion des risques destinées aux banques. Il s'agit d'un domaine important en développement très rapide. Certes, les publications sont nombreuses, mais beaucoup sont techniques ou conceptuelles; d'autres sont trop générales pour répondre aux préoccupations des professionnels et satisfaire réellement l'intérêt des autres lecteurs. Le fossé entre la bibliographie disponible et les intéressés est curieusement loin d'être comblé. Cet ouvrage cherche à le réduire. La prise de risques "calculés", leur mesure et leur contrôle posent quotidiennement des problèmes délicats dans l'univers bancaire. Certes, la gestion des risques est nouvelle, son évolution s'accélère et sa mise en oeuvre soulève beaucoup de questions pratiques et conceptuelles. Leur exposé ne peut revêtir une forme classique car le domaine est encore nouveau. Mais les concepts, les méthodes, et les techniques pour les aborder existent. L'objectif de cet ouvrage est d'en faire état, de les expliquer, et de souligner leurs atouts et leurs limites. Ce livre s'adresse évidemment aux spécialistes, mais aussi à d'autres publics : - les responsables qui souhaitent mieux connaître le sujet pourront aborder l'ouvrage sous divers angles; de nombreux chapitres sont suffisamment autonomes pour être lus séparément, même s'ils font partie d'un tout; on a veillé à distinguer les exposés généraux des développements plus techniques de façon à faciliter une lecture "à deux niveaux"; - les étudiants intéressés par la matière disposeront des concepts et des méthodes leur permettant de couvrir le domaine, les techniques financières associées, et de situer tous ces apports dans le contexte très élaboré et diversifié de la finance d'aujourd'hui.

La Gestion actif-passif de la firme bancaire

Author : Stéphane Orsini
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (33 download)

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Book Synopsis La Gestion actif-passif de la firme bancaire by : Stéphane Orsini

Download or read book La Gestion actif-passif de la firme bancaire written by Stéphane Orsini and published by . This book was released on 1992 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Gestion actif/passif d'une banque

Author : Wadih Sakhri
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (33 download)

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Book Synopsis Gestion actif/passif d'une banque by : Wadih Sakhri

Download or read book Gestion actif/passif d'une banque written by Wadih Sakhri and published by . This book was released on 1992 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Liquidity Risk Measurement and Management

Author : Leonard Matz
Publisher : John Wiley & Sons
ISBN 13 : 0470821825
Total Pages : 413 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Liquidity Risk Measurement and Management by : Leonard Matz

Download or read book Liquidity Risk Measurement and Management written by Leonard Matz and published by John Wiley & Sons. This book was released on 2006-11-10 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Major events such as the Asian crisis in 1997, the Russian default on short-term debt in 1998, the downfall of the hedge fund long-term capital management in 1998 and the disruption in payment systems following the World Trade Center attack in 2001, all resulted in increased management’s attention to liquidity risk. Banks have realized that adequate systems and processes for identifying, measuring, monitoring and controlling liquidity risks help them to maintain a strong liquidity position, which in turn will increase the confidence of investors and rating agencies as well as improve funding costs and availability. Liquidity Risk Measurement and Management: A Practitioner’s Guide to Global Best Practices provides the best practices in tools and techniques for bank liquidity risk measurement and management. Experienced bankers and highly regarded liquidity risk experts share their insights and practical experiences in this book.

Volatility and Correlation

Author : Riccardo Rebonato
Publisher : John Wiley & Sons
ISBN 13 : 0470091401
Total Pages : 864 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Volatility and Correlation by : Riccardo Rebonato

Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School

Nonlinear Option Pricing

Author : Julien Guyon
Publisher : CRC Press
ISBN 13 : 1466570342
Total Pages : 480 pages
Book Rating : 4.4/5 (665 download)

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Book Synopsis Nonlinear Option Pricing by : Julien Guyon

Download or read book Nonlinear Option Pricing written by Julien Guyon and published by CRC Press. This book was released on 2013-12-19 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research-including Risk magazine's 2013 Quant of the Year-Nonlinear Option Pricing compares various numerical methods for solving hi

Correspondent Central Banking Model (CCBM)

Author : European Central Bank
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Correspondent Central Banking Model (CCBM) by : European Central Bank

Download or read book Correspondent Central Banking Model (CCBM) written by European Central Bank and published by . This book was released on 1998 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Introduction to Risk Parity and Budgeting

Author : Thierry Roncalli
Publisher : CRC Press
ISBN 13 : 1482207168
Total Pages : 430 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Introduction to Risk Parity and Budgeting by : Thierry Roncalli

Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina

The Essentials of Risk Management, Second Edition

Author : Michel Crouhy
Publisher : McGraw Hill Professional
ISBN 13 : 0071821155
Total Pages : 669 pages
Book Rating : 4.0/5 (718 download)

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Book Synopsis The Essentials of Risk Management, Second Edition by : Michel Crouhy

Download or read book The Essentials of Risk Management, Second Edition written by Michel Crouhy and published by McGraw Hill Professional. This book was released on 2013-12-06 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential guide to quantifying risk vs. return has been updated to reveal the newest, most effective innovations in financial risk management Written for risk professionals and non-risk professionals alike, this easy-to-understand guide helps readers meet the increasingly insistent demand to make sophisticated assessments of their company’s risk exposure Provides the latest methods for measuring and transferring credit risk, increase risk-management transparency, and implement an organization-wide Enterprise risk Management (ERM) approach The authors are renowned figures in risk management: Crouhy heads research and development at NATIXIS; Galai is the Abe Gray Professor of Finance and Business Asdministration at Hebrew University; and Mark is the founding CEO of Black Diamond Risk

Introduction to Private Equity

Author : Cyril Demaria
Publisher : John Wiley & Sons
ISBN 13 : 1118571916
Total Pages : 382 pages
Book Rating : 4.1/5 (185 download)

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Book Synopsis Introduction to Private Equity by : Cyril Demaria

Download or read book Introduction to Private Equity written by Cyril Demaria and published by John Wiley & Sons. This book was released on 2013-06-12 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition of Introduction to Private Equity is more than an update, it reflects the dramatic changes which have affected an industry which is evolving rapidly, internationalizing and maturing fast. What is recognized as a critical yet grounded guide to the private equity industry blends academic rigour with practical experience. It provides a clear, synthetic and critical perspective of the industry from a professional who has worked at many levels within the industry; including insurance, funds of funds, funds and portfolio companies. The book approaches the private equity sector top-down, to provide a sense of its evolution and how the current situation has been built. It then details the interrelations between investors, funds, fund managers and entrepreneurs. At this point, the perspective shifts to bottom-up, how a private business is valued, how transactions are processed and the due diligence issues to consider before moving ahead. Introduction to Private Equity, Second Edition covers the private equity industry as a whole, putting its recent developments (such as secondary markets, crowdfunding, venture capital in emerging markets) into perspective. The book covers its organization, governance and function, then details the various segments within the industry, including Leveraged Buy-Outs, Venture Capital, Mezzanine Financing, Growth Capital, Distressed Debt, Turn-Around Capital, Funds of Funds and beyond. Finally, it offers a framework to anticipate and understand its future developments. This book provides a balanced perspective on the corporate governance challenges affecting the industry and draws perspectives on the evolution of the sector, following a major crisis.

Financial Risk Manager Handbook

Author : Philippe Jorion
Publisher : John Wiley & Sons
ISBN 13 : 0470176563
Total Pages : 738 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Financial Risk Manager Handbook by : Philippe Jorion

Download or read book Financial Risk Manager Handbook written by Philippe Jorion and published by John Wiley & Sons. This book was released on 2007-06-15 with total page 738 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to financial risk management and the only way to get a great overview of the subjects covered in the GARP FRM Exam The Financial Risk Management Exam (FRM Exam) is given by the Global Association of Risk Professionals (GARP) annually in November for risk professionals who want to earn FRM(r) certification. The Financial Risk Manager Handbook, Fourth Edition is the definitive guide for those preparing to take the FRM Exam as well as a valued working reference for risk professionals. Written with the full support of GARP, and containing questions and solutions from previous exams, this book is a valuable resource for professionals responsible for or associated with financial risk management.

Treaty Series / Recueil Des Traites

Author : United Nations
Publisher : UN
ISBN 13 : 9789219003019
Total Pages : 480 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis Treaty Series / Recueil Des Traites by : United Nations

Download or read book Treaty Series / Recueil Des Traites written by United Nations and published by UN. This book was released on 2007-11-02 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Machine Learning for Asset Management

Author : Emmanuel Jurczenko
Publisher : John Wiley & Sons
ISBN 13 : 1786305445
Total Pages : 460 pages
Book Rating : 4.7/5 (863 download)

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Book Synopsis Machine Learning for Asset Management by : Emmanuel Jurczenko

Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-10-06 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.