Book description
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, Asset and Liability Management is a complete toolbox for those wishing to get to grips with the subject.
Table of contents
- Copyright
- Financial Times Prentice Hall
- About the Authors
- Acknowledgments
- Introduction
- Banking Services and Balance Sheet
- Value Creation for Shareholders
- ROE Breakdown
- Profit Centre Management
- Profit Allocation and Fund Transfer Pricing for Deposits and Loans
- The Capital Adequacy Regulation, Basel I
- Loan Pricing (1): The ‘Equity’ Spread
- The Capital Adequacy Regulation, Basel II
- Loan Pricing (2): Credit Risk and Loan-Loss Provisions
- Securitization
- Value Creation: A Summary
- The Control of Interest Rate Risk (1): The Repricing Gaps
- The Control of Interest Rate Risk (2): The Simulation Model
- Forwards and Financial Futures
- The Control of Interest Rate Risk (3): The Economic Value at Risk
- The Control of Liquidity Risk
- Options
- Credit Derivatives
- The Aggregation of Risks and Risk Diversification
- Asset and Liability Management: An Art, Not a Science
- Software
-
Answers to Exercises
- Solution to Stage Two
- Solution to Stage Three
- Solution to Stage Four
- Solution to Stage Five
- Solution to Stage Six
- Solution to Stage Seven
- Solution to Stage Eight
- Solution to Stage Nine
- Solution to Stage Ten
- Solution to Stage Twelve
- Solution to Stage Thirteen
- Solution to Stage Fourteen
- Solution to Stage Fifteen
- Solution to Stage Sixteen
- Solution to Stage Seventeen
- Solution to Stage Eighteen
- Solution to Stage Nineteen
- Glossary
-
References
Product information
- Title: Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
- Author(s):
- Release date: March 2002
- Publisher(s): Pearson
- ISBN: 9780131370241
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