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

Index

80/20 rule 509

Accounting risk 283–4

Accrued accounting

examples 30–1

general principles 29–30

Adam, Laurent and Rebérioux demand deposit model 123–4

Adam equivalents 322–6, 447

AFS based income smoothing strategies 459–60

A/L manager presentation, of balance sheet

splitting of books 22

trading book isolation 19

treasury book isolation 22

ALCO (ALM committee) 87–92

Allais paradox 310

ALM book separation, see A/L manager presentation, of balance sheet

American banking crisis of the 1980's

real estate crisis 7

savings and loans insolvency crisis 6–7

Amortizing profile 63–4

Amortizing swap 64

Annual effective rate, of loan 143–4

Arbitrage opportunity absence (AOA) 176

Asset and liability management (ALM)

and accounting 502–3

ALM committee (ALCO) 87–92

American banking crisis of the 1980's and 6–7

backtests and out-of-sample tests 350–2

benchmarking 500

capital consumption and capital attribution or allocation 386–7

classic criticism of 500–2

classification methods 354

coherent risk measures 341–3

company valuation process 383–6

delta equivalent in 316–18

departments 93–7

diversity 497–8, 497–9

earnings-at-risk (EaR) 343–4

and financial analysis 391

gamma equivalent in 321

Gaussian framework 344

and Hawks Martingale 461

insurance industry and 7–9

Markovitz optimization and CAPM 345–7

Merton's model of financial options 391

and model risk 503

modern banking industry and 5–7, 13–14

multivariate regression, confidence interval and tests 347–8

non-parametric statistics 355

objectives ...