Bank Asset and Liability Management: Strategy, Trading, Analysis

Finance › Corporate Finance

Bank Asset and Liability Management Strategy, Trading, Analysis

By Moorad Choudhry
John Wiley & Sons April 2007

Specifications

ISBN-13
9780470821350
Publisher
John Wiley & Sons
Publication
April 2007
Format
Hardback , 1440 pages
Jurisdiction
International ? Countri(es) for reference only

Details

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.

Table of Contents

Foreword.

Preface.

About the Author.

PART I. BANKING BUSINESS, BANK CAPITAL AND DEBT MARKET INSTRUMENTS.

Chapter 1. Bank Business and Bank Capital.

Chapter 2. Financial Statements and Ratio Analysis.

Chapter 3. The Money Market.

Chapter 4. The Bond Instrument.

PART II. BANK TREASURY ASSET-LIABILITY MANAGEMENT.

Chapter 5. Asset-Liability Management I.

Chapter 6. Asset-Liability Management II.

Chapter 7. ALM Trading Principles.

Chapter 8. Asset-Liability Management III: The ALCO.

Chapter 9. The Yield Curve.

Chapter 10. The Determinants of the Swap Spread and Understanding the Term Premium.

Chapter 11. Introduction to Relative Spread Analysis.

PART III. FINANCIAL INSTRUMENTS, APPLICATIONS AND HEDGING.

Chapter 12. Repo Instruments.

Chapter 13. Money Market Derivatives.

Chapter 14. Interest-rate Swaps and Overnight-index Swaps.

Chapter 15. Hedging Using Bonds Futures Contracts.

Chapter 16. Credit Risk and Credit Derivatives.

Chapter 17. Value-at-Risk (VaR) and Credit VaR.

PART IV. FUNDING AND BALANCE SHEET MANAGEMENT USING SECURITISATION AND STRUCTURED CREDIT VEHICLES.

Chapter 18. Introduction to Securitisation.

Chapter 19. Structured, Synthetic and Repackaged Funding Vehicles.

Chapter 20. Mortgage-backed Securities and Covered Bonds.

Chapter 21. Asset-backed Securities.

Chapter 22. Collateralised Debt Obligations.

Chapter 23. Synthetic Collateralised Debt Obligations.

Chapter 24. Synthetic Mortgage-backed Securities.

Chapter 25. Structured Investment Vehicles.

PART V. BANK REGULATORY CAPITAL.

Chapter 26. Bank Regulatory Capital and the Basel Rules.

Chapter 27. A Primer on Base II.

PART VI. TREASURY MIDDLE OFFICE OPERATIONS.

Chapter 28. Funding and Treasury Procedures for Banking Corporations.

PART VII. APPLICATIONS SOFTWARE ENCLOSED WITH THE BOOK.

Chapter 29. Applications Software and Spreadsheet Models.

Appendix. Financial Market Arithmetic.

Glossary.

Index.

About the Author

Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance with JPMorgan Chase Bank.
Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Fellow of the Securities Institute in the City of London. He is co-editor with Professor Frank Fabozzi of The Handbook of European Fixed Income Securities.
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