Handbook of Asset and Liability Management: From models to optimal return strategies

Preface

During the past decade, Asset and Liability Management (ALM) departments have become key departments for balance sheet management and for the profitability management in banks, in insurance companies, in asset management teams and even for financial directions of non-financial companies. Due to the complexity of the subject, it has always appeared difficult to develop a unified vision of what an ALM team should do: optimizing the return, hedging the risk, smoothing the margin…

Nevertheless, the external pressure for explanations is growing.

In many countries, the International Accounting Standards (IAS or IFRS) have changed managers' behaviour, obliging them to account their balance sheet in a uniform standard, to better explain their hedging strategies and sometimes to show their residual positions as in the norm IAS 32.

For Banks with Basel II, for insurance companies with Solvency II, the needs for a global understanding of the business is also increasing.

In this context, and in order to prepare the future of ALM, this book tries to give an operational point of view on the business.

This book is written as a handbook for existing or future operational Asset and Liability Managers. It describes all the rules useful for managers to make the activity safe and profitable. It is also meant for all kinds of Asset and Liability managers from banks to financial directors of non-financial companies and on to insurance companies and asset management departments.

The first goal ...