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BANK ASSET AND LIABILITY MANAGEMENT: STRATEGY, TRADING, ANALYSIS

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Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis.

Highlights of the book include detailed coverage of:

Liquidity, gap and funding risk management
Hedging using interest-rate derivatives and credit derivatives
Impact of Basel II
Securitisation and balance sheet management
Structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM
Treasury operations and group transfer pricing.

Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators, and graduate students in banking and finance.

Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.

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Availability

10000718

332.10681 CHO b

RLC MM (Rak Buku Umum)

Available

Detail Information

Series Title

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Statement of Responsibility

Moorad Choudhry

Call Number

332.10681 CHO b

Publisher

New Jersey : John Wiley & Sons., 2007

Collation

xxiii, 1415 p. : ill ; 23cm.

Language

English

ISBN/ISSN

978-0-470-82135-0

Classification

332.10681

Content Type

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Edition

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Subject(s)

Buku Umum
Banking
Asset-Liability Management

Specific Detail Info

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Other version/related

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