[PDF] Asset Liability Management 3rd Edition eBook

Author :
Publisher : FinanceTrainingCourse.com
Page : 185 pages
File Size : 26,87 MB
Release : 2014-08-05
Category : Business & Economics
ISBN :

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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.

Author : G. Mitra
Publisher : Springer
Page : 547 pages
File Size : 33,1 MB
Release : 2011-03-29
Category : Business & Economics
ISBN : 023030723X

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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.

Author : Moorad Choudhry
Publisher : John Wiley & Sons
Page : 1444 pages
File Size : 26,49 MB
Release : 2011-12-27
Category : Business & Economics
ISBN : 1118177215

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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. 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.

Author : Frank Fabozzi
Publisher : McGraw-Hill
Page : 0 pages
File Size : 24,27 MB
Release : 1995-10-01
Category : Business & Economics
ISBN : 9781557388001

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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.

Author : T. Ravi Kumar
Publisher :
Page : 0 pages
File Size : 43,57 MB
Release : 2005-03
Category : Asset-liability management
ISBN : 9788170943525

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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

Author : Beata Lubinska
Publisher : John Wiley & Sons
Page : 244 pages
File Size : 31,65 MB
Release : 2020-04-20
Category : Business & Economics
ISBN : 1119635489

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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.

Author : Polina Bardaeva
Publisher : Walter de Gruyter GmbH & Co KG
Page : 162 pages
File Size : 25,89 MB
Release : 2021-04-19
Category : Business & Economics
ISBN : 311066660X

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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.

Author : Kyriaki Kosmidou
Publisher : Springer Science & Business Media
Page : 177 pages
File Size : 21,24 MB
Release : 2006-04-18
Category : Business & Economics
ISBN : 1402081057

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Other publications that exist on this topic, are mainly focused on the general aspects and methodologies of the field and do not refer extensively to bank ALM. On the other hand the existing books on goal programming techniques do not involve the ALM problem and more specifically the bank ALM one. Therefore, there is a lack in the existing literature of a comprehensive text book that combines both the concepts of bank ALM and goal programming techniques and illustrates the contribution of goal programming techniques to bank ALM. This is the major contributing feature of this book and its distinguishing characteristic as opposed to the existing literature. This volume would be suitable for academics and practitioners in operations research, management scientists, financial managers, bank managers, economists and risk analysts. The book can also be used as a textbook for graduate courses of asset liability management, financial risk management and banking risks.