Bank Asset and Liability Management
Strategy, Trading, Analysis
Moorad Choudhry e Irving Henry
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Banks are a vital part of the global economy, and the essence ofbanking is asset-liability management (ALM). This book is acomprehensive treatment of an important financial marketdiscipline. A reference text for all those involved in banking andthe debt capital markets, it describes the techniques, products andart of ALM. Subjects covered include bank capital, money markettrading, risk management, regulatory capital and yield curveanalysis.
Highlights of the book include detailed coverage of:
liquidity, gap and funding risk managementhedging using interest-rate derivatives and credit derivativesimpact of Basel IIsecuritisation and balance sheet managementstructured finance products including asset-backed commercialpaper, mortgage-backed securities, collateralised debt obligationsand structured investment vehicles, and their role in ALMtreasury operations and group transfer pricing.
Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book isessential reading for market practitioners, bank regulators andgraduate students in banking and finance.
Includes free CD-ROM that contains software on applicationsdescribed in the book, including a yield curve model, cubic splinespreadsheet calculator and CDO waterfall model.
- 52,99 €
- Categoria: Industrie e professioni
- Pubblicato: 27/12/2011
- Editore: Wiley
- Pagine: 256
- Lingua: Inglese