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The Integration Of Derivatives Into Asset And Liability Management
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Book Synopsis Handbook of Asset and Liability Management by : Stavros A. Zenios
Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2006-07-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well.*Each volume presents an accurate survey of a sub-field of finance*Fills a substantial gap in this field*Broad in scope
Book Synopsis Asset and Liability Management Handbook by : G. Mitra
Download or read book Asset and Liability Management Handbook written by G. Mitra and published by Springer. This book was released on 2011-03-29 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Asset-Liability Integration by : Krzysztof M. Ostaszewski
Download or read book Asset-Liability Integration written by Krzysztof M. Ostaszewski and published by . This book was released on 2002-05 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interest Rate Risk in the Banking Book by : Beata Lubinska
Download or read book Interest Rate Risk in the Banking Book written by Beata Lubinska and published by John Wiley & Sons. This book was released on 2021-11-01 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations. Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry for the last couple of years. The importance of IRRBB is shifting for banks, away from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this importance risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author’s experience. This handbook is rich in practical insights on methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution. Gain an updated understanding of the evolving regulatory landscape for IRRBB Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts • Understand how customer behavior impacts interest rate risk and how to manage the consequences Examine case studies illustrating key IRRBB exposures and their implications Written by London market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.
Author :United States. Congress. House. Committee on Banking, Finance, and Urban Affairs Publisher : ISBN 13 : Total Pages :856 pages Book Rating :4.0/5 (1 download)
Book Synopsis Safety and Soundness Issues Related to Bank Derivatives Activities by : United States. Congress. House. Committee on Banking, Finance, and Urban Affairs
Download or read book Safety and Soundness Issues Related to Bank Derivatives Activities written by United States. Congress. House. Committee on Banking, Finance, and Urban Affairs and published by . This book was released on 1994 with total page 856 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset–Liability Management for Financial Institutions by : Bob Swarup
Download or read book Asset–Liability Management for Financial Institutions written by Bob Swarup and published by Bloomsbury Publishing. This book was released on 2012-05-24 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Effective asset-liability management (ALM) of a financial institution requires making informed strategic and operational decisions. Ever more important in the wake of the corporate bailouts and collapses of the financial crisis, ALM encompasses the formulation, implementation, monitoring, and revision of strategies, often on a daily basis due to the fast-moving nature of the related risks and constraints. This approachable book features up-to-date practitioner and academic perspectives to provide you with the knowledge you need. Key foundation information is backed up by the latest research and thought leadership to form a comprehensive guide to ALM for today and into the future, with case studies and worked examples. Detailed coverage includes: * Successful risk management frameworks * Coherent stress-testing * Modeling market risk * Derivatives and ALM * Contingency funding to manage liquidity risks * Basel III capital adequacy standard * Investment management for insurers * Property and casualty portfolio management * Funds transfer pricing * Problem loan modeling
Author :United States. Congress. House. Committee on Banking and Financial Services Publisher : ISBN 13 : Total Pages :436 pages Book Rating :4.0/5 ( download)
Book Synopsis H.R. 4062--The Financial Derivatives Supervisory Improvement Act of 1998 and H.R. 4239--The Financial Contract Netting Improvement Act by : United States. Congress. House. Committee on Banking and Financial Services
Download or read book H.R. 4062--The Financial Derivatives Supervisory Improvement Act of 1998 and H.R. 4239--The Financial Contract Netting Improvement Act written by United States. Congress. House. Committee on Banking and Financial Services and published by . This book was released on 1998 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :United States. Congress. House. Committee on Banking, Finance, and Urban Affairs Publisher : ISBN 13 : Total Pages :828 pages Book Rating :4.:/5 (327 download)
Book Synopsis Safety and Soundness Issues Related to Bank Derivatives Activities: Without special titles by : United States. Congress. House. Committee on Banking, Finance, and Urban Affairs
Download or read book Safety and Soundness Issues Related to Bank Derivatives Activities: Without special titles written by United States. Congress. House. Committee on Banking, Finance, and Urban Affairs and published by . This book was released on 1994 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis QFINANCE: The Ultimate Resource, 4th edition by : Bloomsbury Publishing
Download or read book QFINANCE: The Ultimate Resource, 4th edition written by Bloomsbury Publishing and published by A&C Black. This book was released on 2013-09-26 with total page 6938 pages. Available in PDF, EPUB and Kindle. Book excerpt: QFINANCE: The Ultimate Resource (4th edition) offers both practical and thought-provoking articles for the finance practitioner, written by leading experts from the markets and academia. The coverage is expansive and in-depth, with key themes which include balance sheets and cash flow, regulation, investment, governance, reputation management, and Islamic finance encompassed in over 250 best practice and thought leadership articles. This edition will also comprise key perspectives on environmental, social, and governance (ESG) factors -- essential for understanding the long-term sustainability of a company, whether you are an investor or a corporate strategist. Also included: Checklists: more than 250 practical guides and solutions to daily financial challenges; Finance Information Sources: 200+ pages spanning 65 finance areas; International Financial Information: up-to-date country and industry data; Management Library: over 130 summaries of the most popular finance titles; Finance Thinkers: 50 biographies covering their work and life; Quotations and Dictionary.
Book Synopsis RISK MANAGEMENT AND DERIVATIVES by : Dr. Abhijit Gajghate I Dr. Mukul A. Burghate
Download or read book RISK MANAGEMENT AND DERIVATIVES written by Dr. Abhijit Gajghate I Dr. Mukul A. Burghate and published by mukul burghate. This book was released on with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: The entire scope of financial decision making centres on the trade-off between risk and return. Decision making of any kind involves both positive and negative aspects. The objective of an investment decision is to get required rate of return with minimum risk. To achieve this objective, various instruments, practices and strategies have been devised and developed in the recent past. With the opening of boundaries for international trade and business, the world trade gained momentum in the last decade, the world has entered into a new phase of global integration and liberalisation. To overcome the risk arising out of these fluctuating variables and increased dependence of capital markets of one set of countries to the others, risk management practices have also been reshaped by inventing such instruments as can mitigate the risk element. These new popular instruments are known as financial derivatives which, not only reduce financial risk but also open us new opportunity for high risk takers. It is in this context, a Study Material on introduction to the subject ‘RISK MANAGEMENT AND DERIVATIVES’ is presented to the students of Professional Post-Graduate MBA degree. The book contains the syllabus from basics of the subjects going into the intricacies of the subjects. All the concepts have been explained with relevant examples and diagrams to make it interesting for the readers. An attempt is made here by the author to assist the students by way of providing Study Material as per the curriculum with non-commercial considerations. However, it is implicit that these are exam-oriented Study Material and students are advised to attend regular class room classes in the Institute and utilize reference books available in the library for In-depth knowledge. We owe to many websites and their free contents; we would like to specially acknowledge contents of website www.wikipedia.com and various authors whose writings formed the basis for this book. We acknowledge our thanks to them. At the end we would like to say that there is always a room for improvement in whatever we do. We would appreciate any suggestions regarding this study material from the readers so that the contents can be made more interesting and meaningful. Readers can email their queries and doubts to our authors on [email protected]. We shall be glad to help you immediately.
Book Synopsis Asset Liability Management Optimisation by : Beata Lubinska
Download or read book Asset Liability Management Optimisation written by Beata Lubinska and published by John Wiley & Sons. This book was released on 2020-02-24 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance by : Markus Holtz
Download or read book Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance written by Markus Holtz and published by Springer Science & Business Media. This book was released on 2010-10-22 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the numerical analysis and efficient numerical treatment of high-dimensional integrals using sparse grids and other dimension-wise integration techniques with applications to finance and insurance. The book focuses on providing insights into the interplay between coordinate transformations, effective dimensions and the convergence behaviour of sparse grid methods. The techniques, derivations and algorithms are illustrated by many examples, figures and code segments. Numerical experiments with applications from finance and insurance show that the approaches presented in this book can be faster and more accurate than (quasi-) Monte Carlo methods, even for integrands with hundreds of dimensions.
Book Synopsis Actuarial Finance by : Mathieu Boudreault
Download or read book Actuarial Finance written by Mathieu Boudreault and published by John Wiley & Sons. This book was released on 2019-04-09 with total page 597 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets. Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks. Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. Additional topics and features include: Compares pricing in insurance and financial markets Discusses event-triggered derivatives such as weather, catastrophe and longevity derivatives and how they can be used for risk management; Introduces equity-linked insurance and annuities (EIAs, VAs), relates them to common derivatives and how to manage mortality for these products Introduces pricing and replication in incomplete markets and analyze the impact of market incompleteness on insurance and risk management; Presents immunization techniques alongside Greeks-based hedging; Covers in detail how to delta-gamma/rho/vega hedge a liability and how to rebalance periodically a hedging portfolio. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf. As of 2019, the book covers significant parts of the Society of Actuaries’ Exams FM, IFM and QFI Core, and the Casualty Actuarial Society’s Exams 2 and 3F. It is assumed the reader has basic skills in calculus (differentiation and integration of functions), probability (at the level of the Society of Actuaries’ Exam P), interest theory (time value of money) and, ideally, a basic understanding of elementary stochastic processes such as random walks.
Book Synopsis Estonia, the Challenge of Financial Integration by : Carlos Brandão Cavalcanti
Download or read book Estonia, the Challenge of Financial Integration written by Carlos Brandão Cavalcanti and published by World Bank Publications. This book was released on 1998 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: July 1998 To gain recognition from its counterparts in the European Union, Estonia must give priority to improving risk management in its banks and improving institutional capacity for bank regulation and supervision. The most important challenge of Estonia's strategy for integrating its financial sector with that of the European Union (EU) is to upgrade its capacity for prudential regulation and supervision enough to gain recognition from its EU counterparts. Doing so is also a crucial complement to Estonia's strategy for strengthening macroeconomic policy and stabilization-especially because, under a currency board, its banks are a central part of the transmission mechanism for capital flows. Under the currency board banks have been able to arbitrage between domestic and foreign financial markets-increasingly funding themselves from abroad. Such arbitrage has become the key funding source for rapidly expanding credit, contributing to the country's large current account deficit. Estonian authorities are justified in tightening prudential regulation and supervision because of the risks associated with an overheating economy, general market volatility, and the possible deterioration in the quality of credit. Improvements in prudential regulation should be followed by improvements in the country's capacity to supervise banks and an upgrading of the banks' risk management systems, to manage the increasingly complex operations and diverse markets in which they engage. These steps should be a priority. The institutional development of banks and supervision have lagged behind market developments. In improving the regulatory framework for banks, Estonia should avoid establishing incentives for tax arbitrage that lead to the creation of artificial and socially costly financial intermediaries. This paper is a product of the Poverty Reduction and Economic Management Sector Unit, Europe and Central Asia Region. The authors may be contacted at [email protected] or [email protected].
Book Synopsis Introduction to Quantitative Finance by : Robert R. Reitano
Download or read book Introduction to Quantitative Finance written by Robert R. Reitano and published by MIT Press. This book was released on 2010-01-29 with total page 747 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to many mathematical topics applicable to quantitative finance that teaches how to “think in mathematics” rather than simply do mathematics by rote. This text offers an accessible yet rigorous development of many of the fields of mathematics necessary for success in investment and quantitative finance, covering topics applicable to portfolio theory, investment banking, option pricing, investment, and insurance risk management. The approach emphasizes the mathematical framework provided by each mathematical discipline, and the application of each framework to the solution of finance problems. It emphasizes the thought process and mathematical approach taken to develop each result instead of the memorization of formulas to be applied (or misapplied) automatically. The objective is to provide a deep level of understanding of the relevant mathematical theory and tools that can then be effectively used in practice, to teach students how to “think in mathematics” rather than simply to do mathematics by rote. Each chapter covers an area of mathematics such as mathematical logic, Euclidean and other spaces, set theory and topology, sequences and series, probability theory, and calculus, in each case presenting only material that is most important and relevant for quantitative finance. Each chapter includes finance applications that demonstrate the relevance of the material presented. Problem sets are offered on both the mathematical theory and the finance applications sections of each chapter. The logical organization of the book and the judicious selection of topics make the text customizable for a number of courses. The development is self-contained and carefully explained to support disciplined independent study as well. A solutions manual for students provides solutions to the book's Practice Exercises; an instructor's manual offers solutions to the Assignment Exercises as well as other materials.
Book Synopsis Emerging Local Securities and Derivatives Markets by : Ms.Anna Ilyina
Download or read book Emerging Local Securities and Derivatives Markets written by Ms.Anna Ilyina and published by International Monetary Fund. This book was released on 2004-04-20 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: In response to the volatility of capital flows since the mid-1990s, many emerging market economies have taken a variety of steps designed to “selfinsure” against volatile capital flows. One such measure has been the development of local securities and derivatives markets as an alternative source of funding the public and corporate sectors. This paper examines this self-insurance policy, focusing on the extent to which emerging markets have developed local securities and derivatives, and what key policy issues have arisen as a result.
Book Synopsis Banking Governance, Performance and Risk-Taking by : Faten Ben Bouheni
Download or read book Banking Governance, Performance and Risk-Taking written by Faten Ben Bouheni and published by John Wiley & Sons. This book was released on 2016-09-16 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: Development of emerging countries is often enabled through non-conventional finance. Indeed, the prohibition of interest and some other impediments require understanding conventional finance and Islamic finance, which both seek to be ethical and socially responsible. Thus, comparing and understanding the features of Islamic banking and conventional banking, in a globalized economy, is fundamental. This book explains the features of both conventional and Islamic banking within the current international context. It also provides a comparative view of banking governance, performance and risk-taking of both finance systems. It will be of particular use to practitioners and researchers, as well as to organizations and companies who are interested in conventional and Islamic banking.
