Asset And Liability Management Tools

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Handbook of Asset and Liability Management

Author : Alexandre Adam
Publisher : John Wiley & Sons
ISBN 13 : 9780470724118
Total Pages : 576 pages
Book Rating : 4.7/5 (241 download)

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Book Synopsis Handbook of Asset and Liability Management by : Alexandre Adam

Download or read book Handbook of Asset and Liability Management written by Alexandre Adam and published by John Wiley & Sons. This book was released on 2008-03-11 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.

Asset Liability Management. 3rd Edition

Author :
Publisher : FinanceTrainingCourse.com
ISBN 13 :
Total Pages : 185 pages
Book Rating : 4./5 ( download)

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Book Synopsis Asset Liability Management. 3rd Edition by :

Download or read book Asset Liability Management. 3rd Edition written by and published by FinanceTrainingCourse.com. This book was released on 2014-08-05 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book begins with a description of how the revenue generation mechanism of a bank works. Asset liability management (ALM) and associated interest rate and liquidity risks are defined and other measures such as duration and convexity are calculated. In order to understand the various yield curve shapes, shifts and outlooks, a review of the historical US yield term structures is conducted. This is followed by a look at various ALM strategies, in view of future expected interest rate outlooks, and their impact on the maturity distributions of assets & liabilities of banks. Next, the various assumptions used in an ALM model are assessed, followed by an explanation of price and rate gaps with some basic illustrations to understand the concepts of net interest income at risk and market value at risk. ALM reports profile cash flows by maturity or reset buckets. A methodology for building maturity and liquidity profiles for banks’ advances and deposits portfolios using the Pivot table & chart functionality in EXCEL is discussed. Step by step methodologies for various ALM measurement tools follow. These include Fall in Market Value of Equity, Earnings at Risk, Cost to Close liquidity gap, Cost to Close interest rate gap, Rate Sensitive Gap, Duration Gap. An overview of other ALM reports such as price sensitive gap, net interest income (NII) and liquidity gap is given. Applications for explaining immunization and portfolio dedication are presented. An EXCEL Solver based fixed income portfolio optimization model is discussed and scenarios for minimizing duration and maximizing convexity of the portfolio are presented. A discussion of liquidity risk management measures including ratios and analyses for measuring liquidity risk, limits for managing the risk, general and specific requirements for developing a contingency funding plan and liquidity enhancement tactics for company specific and systemic crisis. A methodology for stress testing liquidity using a Value at Risk (VaR) based approach for a fixed income portfolio is also discussed. The book concludes with a case-study for assessing why bank regulations fail. This simulation results based study looks at the efficacy of Capital Adequacy Ratio (CAR) as an indicator of bank performance and seeks to identify a more valuable leading indicator or target account for monitoring bank performance and health.

Asset & Liability Management

Author : Jean Dermine
Publisher : FT Press
ISBN 13 : 9780273656562
Total Pages : 0 pages
Book Rating : 4.6/5 (565 download)

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Book Synopsis Asset & Liability Management by : Jean Dermine

Download or read book Asset & Liability Management written by Jean Dermine and published by FT Press. This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: As institutional shareholders increase pressure on value creation and as central banks around the world are forcing banks to improve their ALM capabilities, the time has come for every banker to master the tools of "Asset and Liability Management," and the control of value creation and risk. Written for a general business audience by Jean Dermine, an INSEAD expert, "Asset and Liability Management" is a complete toolbox for those wishing to get to grips with the subject. Unique in its concise, clear and accessible presentation of the concepts, the book steers clear of complex mathematics and presents the tools in an intuitive and simple way by using modern, visual, educational techniques. The book sheds light on questions such as: how do the various pieces of the bank puzzle fit with one another? how does each piece of the bank contribute to value creation? how does one ensure that risks are being controlled? how do you evaluate performances on a risk-adjusted basis? how do you price loans to secure the creation of value? It also includes discussions on profit-center management, pricing credit risk and loan provisioning, and the management of interest rate and liquidity risks. Threading through the book are a set of exercises with solutions to measure understanding of the concepts as they build on each other. Packaged with the book is a step-by-step tutorial CD-ROM that focuses on visuals, and exercises with built-in solutions. This can be used as a stand-alone self-learning device or as a tool after reading the book to test and reinforce the concepts learnt.

Asset and Liability Management Tools

Author : Bernd Scherer
Publisher :
ISBN 13 : 9781904339069
Total Pages : 333 pages
Book Rating : 4.3/5 (39 download)

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Book Synopsis Asset and Liability Management Tools by : Bernd Scherer

Download or read book Asset and Liability Management Tools written by Bernd Scherer and published by . This book was released on 2003 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new multi-author volume that provides a complete and non-technical presentation on all the very latest asset and liability management issues and techniques required to stay ahead of the curve in today's volatile climate.

Bank Asset and Liability Management

Author : Moorad Choudhry
Publisher : John Wiley & Sons
ISBN 13 : 1118177215
Total Pages : 1444 pages
Book Rating : 4.1/5 (181 download)

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Book Synopsis Bank Asset and Liability Management by : Moorad Choudhry

Download or read book Bank Asset and Liability Management written by Moorad Choudhry and published by John Wiley & Sons. This book was released on 2011-12-27 with total page 1444 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Asset Liability Management

Author : T. Ravi Kumar
Publisher :
ISBN 13 : 9788170943525
Total Pages : 0 pages
Book Rating : 4.9/5 (435 download)

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Book Synopsis Asset Liability Management by : T. Ravi Kumar

Download or read book Asset Liability Management written by T. Ravi Kumar and published by . This book was released on 2005-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The face of Indian financial sector changed forever with the initiation of economic reforms in 1991. Deregulation and integration has led Indian banks and financial institutions into competition both on the assets side as well as the liabilities side of the balance sheet, forcing them to assume greater and newer risks in their quest for higher returns. Accordingly, the need for bankers to be familiar with the risks to which they are exposed and the tools available for managing such risks assumes vital significance. The US savings and loan crisis in the early 1980s and the Asian crisis of the late 1990s strongly underscored the dangers confronting banks and financial institutions which choose to ignore the implications of interest rate risk and liquidity risk. Asset-liability management (ALM) provides a macro-level framework and a sophisticated tool for modern risk management in banks. This is an authoritative work on the fundamentals of ALM. The book commences with an introduction to the types of risks confronting banks and goes on to describe the concept, rationale and implementation of asset-liability management

Asset and Liability Management Tools

Author : Bernd Scherer
Publisher :
ISBN 13 :
Total Pages : 333 pages
Book Rating : 4.:/5 (224 download)

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Book Synopsis Asset and Liability Management Tools by : Bernd Scherer

Download or read book Asset and Liability Management Tools written by Bernd Scherer and published by . This book was released on 2004 with total page 333 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Asset and Liability Management Handbook

Author : G. Mitra
Publisher : Springer
ISBN 13 : 023030723X
Total Pages : 547 pages
Book Rating : 4.2/5 (33 download)

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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.

Bank Asset Liability Management Best Practice

Author : Polina Bardaeva
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 311066660X
Total Pages : 162 pages
Book Rating : 4.1/5 (16 download)

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Book Synopsis Bank Asset Liability Management Best Practice by : Polina Bardaeva

Download or read book Bank Asset Liability Management Best Practice written by Polina Bardaeva and published by Walter de Gruyter GmbH & Co KG. This book was released on 2021-04-19 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: As bankers incorporate more and more complicated and precise calculations and models, a solely mathematical approach will fail to confirm the viability of their business. This book explains how to combine ALM concepts with the emotional intelligence of managers in order to maintain the financial health of a bank, and quickly react to external environment challenges and banks’ microclimate changes. ALM embraces not only balance sheet targets setting, instruments and methodologies to achieve the targets, but also the correct and holistic understanding of processes that should be set up in a bank to prove its prudency and compliance with internal and external constraints, requirements and limitations and the ongoing continuity of its operations. Bank Asset Liability Management Best Practice delves into the philosophy of ALM, discusses the interrelation of processes inside the bank, and argues that every little change in one aspect of the bank processes has an impact on its other parts. The author discusses the changing role of ALM and its historical and current concepts, its strengths and weaknesses, and future threats and opportunities.

Asset Liability Management Optimisation

Author : Beata Lubinska
Publisher : John Wiley & Sons
ISBN 13 : 1119635489
Total Pages : 244 pages
Book Rating : 4.1/5 (196 download)

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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 2020-04-20 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.

Handbook of Asset and Liability Management

Author : Stavros A. Zenios
Publisher : Elsevier
ISBN 13 : 0080548563
Total Pages : 685 pages
Book Rating : 4.0/5 (85 download)

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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 2007-08-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. It is fitting that the series Handbooks in Finance devotes a handbook to Asset and Liability Management. Volume 2 focuses on applications and case studies in asset and liability management.The growth in knowledge about practical asset and liability modeling has followed the popularity of these models in diverse business settings. This volume portrays ALM in practice, in contrast to Volume 1, which addresses the theories and methodologies behind these models. In original articles practitioners and scholars describe and analyze models used in banking, insurance, money management, individual investor financial planning, pension funds, and social security. They put the traditional purpose of ALM, to control interest rate and liquidity risks, into rich and broad-minded frameworks. Readers interested in other business settings will find their discussions of financial institutions both instructive and revealing.* Focuses on pragmatic applications * Relevant to a variety of risk-management industries* Analyzes models used in most financial sectors

The Handbook of Asset/Liability Management: State-of-Art Investment Strategies, Risk Controls and Regulatory Required

Author : Frank Fabozzi
Publisher : McGraw-Hill
ISBN 13 : 9781557388001
Total Pages : 0 pages
Book Rating : 4.3/5 (88 download)

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Book Synopsis The Handbook of Asset/Liability Management: State-of-Art Investment Strategies, Risk Controls and Regulatory Required by : Frank Fabozzi

Download or read book The Handbook of Asset/Liability Management: State-of-Art Investment Strategies, Risk Controls and Regulatory Required written by Frank Fabozzi and published by McGraw-Hill. This book was released on 1995-10-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Completely revised and updated, the Handbook of Assetiability Management helps you keep your protfolio in line and market risk under control. This reference includes; The benefits from risk management; Asset securitization; Measuring interest rate and yield curve risk; Using OAS to implement value at risk balance sheet management; Hedging with derivatives; Implementing controls for managing derivative positions.

Asset/liability Management

Author : Jerry Hartzog
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Asset/liability Management by : Jerry Hartzog

Download or read book Asset/liability Management written by Jerry Hartzog and published by . This book was released on 1983 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Asset/liability Management

Author : Ben A. Cunningham
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (181 download)

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Book Synopsis Asset/liability Management by : Ben A. Cunningham

Download or read book Asset/liability Management written by Ben A. Cunningham and published by . This book was released on 1983 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Asset and Liability Management for Banks and Insurance Companies

Author : Marine Corlosquet-Habart
Publisher : John Wiley & Sons
ISBN 13 : 111918455X
Total Pages : 166 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Asset and Liability Management for Banks and Insurance Companies by : Marine Corlosquet-Habart

Download or read book Asset and Liability Management for Banks and Insurance Companies written by Marine Corlosquet-Habart and published by John Wiley & Sons. This book was released on 2015-08-05 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces ALM in the context of banks and insurance companies. Although this strategy has a core of fundamental frameworks, models may vary between banks and insurance companies because of the different risks and goals involved. The authors compare and contrast these methodologies to draw parallels between the commonalities and divergences of these two services and thereby provide a deeper understanding of ALM in general.

Asset Management: Tools And Issues

Author : Frank J Fabozzi
Publisher : World Scientific
ISBN 13 : 9811225761
Total Pages : 514 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Asset Management: Tools And Issues by : Frank J Fabozzi

Download or read book Asset Management: Tools And Issues written by Frank J Fabozzi and published by World Scientific. This book was released on 2020-12-02 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long gone are the times when investors could make decisions based on intuition. Modern asset management draws on a wide-range of fields beyond financial theory: economics, financial accounting, econometrics/statistics, management science, operations research (optimization and Monte Carlo simulation), and more recently, data science (Big Data, machine learning, and artificial intelligence). The challenge in writing an institutional asset management book is that when tools from these different fields are applied in an investment strategy or an analytical framework for valuing securities, it is assumed that the reader is familiar with the fundamentals of these fields. Attempting to explain strategies and analytical concepts while also providing a primer on the tools from other fields is not the most effective way of describing the asset management process. Moreover, while an increasing number of investment models have been proposed in the asset management literature, there are challenges and issues in implementing these models. This book provides a description of the tools used in asset management as well as a more in-depth explanation of specialized topics and issues covered in the companion book, Fundamentals of Institutional Asset Management. The topics covered include the asset management business and its challenges, the basics of financial accounting, securitization technology, analytical tools (financial econometrics, Monte Carlo simulation, optimization models, and machine learning), alternative risk measures for asset allocation, securities finance, implementing quantitative research, quantitative equity strategies, transaction costs, multifactor models applied to equity and bond portfolio management, and backtesting methodologies. This pedagogic approach exposes the reader to the set of interdisciplinary tools that modern asset managers require in order to extract profits from data and processes.

Asset-Liability and Liquidity Management

Author : Pooya Farahvash
Publisher : John Wiley & Sons
ISBN 13 : 1119701880
Total Pages : 1056 pages
Book Rating : 4.1/5 (197 download)

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Book Synopsis Asset-Liability and Liquidity Management by : Pooya Farahvash

Download or read book Asset-Liability and Liquidity Management written by Pooya Farahvash and published by John Wiley & Sons. This book was released on 2020-06-16 with total page 1056 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset-Liability and Liquidity Management distils the author’s extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author’s own experience in the industry. The author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses. Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including: The fundamentals of analytical finance Detailed explanations of financial valuation models for a variety of products The principle of economic value of equity and value-at-risk The principle of net interest income and earnings-at-risk Liquidity risk Funds transfer pricing A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.