Book description
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.
Table of contents
- Cover Page
- Title Page
- Copyright
- Dedication
- Contents
- Preface
- Acknowledgments
- About the author
- Part I: Introduction
-
Part II: Internal Transfer Pricing, Accounting and Auditing
- 3: Balance Sheet Presentation
- 4: “Accrued Accounting” for Interest Rate Instruments Versus “Marked-to-Market” Accounting
- 5: IFRS and IAS Accounting
- 6: “Economic Accounting”: Fair Value and Full Fair Value
-
7: Internal Transfer Pricing or Fund Transfer Pricing (FTP)
- 7.1 PRINCIPLES
- 7.2 ADVANCED TRANSFER PRICINGS INCLUDING CREDIT RISK AND EXPECTED RETURN ON ECONOMIC CAPITAL
- 7.3 THE INCLUSION OF IMPLICIT OPTIONS INCLUSION IN THE “CONTRACT BY CONTRACT” FTP RULES AND COMMERCIAL DEPARTMENT ARBITRAGE OPPORTUNITY
- 7.4 FTP RULES BASED ON THE “STOCK” AND BASED ON THE “FLOWS”
- 7.5 EXAMPLES OF FTP RULES
- 7.6 PEREQUATIONS
- 8: ALM as a Profit Centre
- 9: Optimal Organization of an ALM Team
-
Part III: Balance Sheet Items and Products Modelling
- 10: Behavioural Modelling Principles
-
11: Deposits and Savings
- 11.1 DEPOSITS, MONETARY AGGREGATES, MONEY SUPPLY AND MACROECONOMICS
- 11.2 DEMAND DEPOSIT ACCOUNTS
- 11.3 SAVING ACCOUNTS: REGULATED AND NON-REGULATED SAVINGS VERSUS SUPER-SAVINGS
- 11.4 DEMAND DEPOSITS MODELS IN THE LITERATURE
- 11.5 DEPOSIT MODELLING: THE SOLUTION THROUGH AN APPROACH BASED ON CUSTOMER BEHAVIOUR MODELLING
- 11.6 DEPOSIT MODELLING THROUGH A CUSTOMER BEHAVIOUR MODELLING BASED APPROACH: REPRESENTATION IN RISK INDICATORS AND FTP
- 12: Loans
- 13: Prepayments
- 14: Other Examples of Products Needing Behavioural Modelling
- 15: Examples of Products Partially Correlated with Financial Markets
- 16: New Production Modelling
- 17: Insurance Products
- 18: Hedging Instruments
- Part IV: Risk Management for Asset and Liability Managers
- Part V: Tools for Asset and Liability Managers
- Part VI: Economic Value and New Risk Indicators Associated with the Basel II and Solvency II Regulatory Perspective
-
Part VII: Optimal Return Strategies
- 27: Risk Perfect Hedging Using the Delta Equivalent Technique
- 28: Limits Policy
- 29: Income Smoothing Strategies
- 30: Economic Value Management: The A/L Manager's Optimization Programme Under Economic Capital Constraints and Accounting Constraints
-
31: Application to Banking Book Activities
- 31.1 DEPOSIT ACCOUNTS: VALUATION AND HEDGING IN AN ECONOMIC CAPITAL APPROACH USING THE GRID METHODOLOGY
- 31.2 APPLICATION TO STOCK MARKET BOOK
- 31.3 APPLICATION TO CREDIT RISK BOOK
- 31.4 PREPAYMENT RISK OPTIMAL HEDGING STRATEGIES
- 31.5 APPLICATION TO A GLOBAL BANKING BOOK INCLUDING BUSINESS AND MODEL RISK
- 31.6 DIRECT DEMAND DEPOSIT INCOME SMOOTHING THROUGH A SIMPLE EXAMPLE
- 32: Economic Value Management in Insurance Companies and in Capital Book Management
- Part VIII: Conclusions on the ALM of Tomorrow
- Part IX: Annexes
- Bibliography
- Index
Product information
- Title: Handbook of Asset and Liability Management: From models to optimal return strategies
- Author(s):
- Release date: January 2008
- Publisher(s): Wiley
- ISBN: 9780470034965
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