The Handbook of ALM in Banking Interest Rates, Liquidity and the Balance Sheet

Author: Andreas Bohn; Marije Elkenbracht-Huizing
Publisher: Risk Books
ISBN: 9781782720119
Published In: February 2014
Format: Paperback
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Description
Contents
Author

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The Handbook of ALM in Banking provides a complete overview on good practices for asset and liability management in banking.

New regulations, which require a more consistent treatment of banking books and trading books as well as more aligned business strategies, call for the integrated management of assets and liabilities in banks. At the same time, stronger separation of retail banking activities from investment banking is being proposed. Consequently, there is greater focus on efficient allocation of financial resources and respective risk management. Asset and liability management and transfer pricing play a pivotal role in this context.

This book provides a comprehensive overview of state-of-the-art asset and liability modelling, risk management techniques and transfer pricing. The book considers the aspects key to these issues: liquidity, funding, interest rates and balance sheet management.

In recent years, there has been increased focus on the universal banking model as well as new regulations focusing on asset and liability management (ALM) practices. In an environment of low interest rates and expansionary monetary policy, there is increased competition around loan and deposit businesses, as well as moves to integrate trading book assets and liabilities into the ALM framework.

Consequently, ALM is at the top of banks’ agendas.

Edited by industry experts Andreas Bohn and Marije Elkenbracht-Huizing, The Handbook of ALM in Banking brings together key contributions from those implementing new ALM frameworks in light of these latest developments.

The book examines the intricacies of loans and deposits in the context of revisions to statutory deposit protection schemes. It also assesses the demands on banks’ liquidity reserves and collateral, as well as funding implications.

The increased regulatory focus on earnings at risk and on capital and balance sheet consumption is also under the spotlight, with the book clarifying issues on funds transfer pricing, capital management and balance sheet requirements.

The Handbook of ALM in Banking provides a full overview of methods and methodologies being applied in cutting-edge ALM management. This book is a must-read for ALM managers, risk managers, balance sheet managers, accountants, treasurers.
Introduction
Andreas Bohn (Barclays) and Marije Elkenbracht-Huizing (ABN AMRO)

Part I: Regulations and their impact on ALM

1. New regulatory developments for interest rate risk in the banking book
Volker Leistikow

2. Bank capital and liquidity
Marc Farag, Dan Nixon (Bank of England) and Damian Harland (Barclays)

3. Liquidity risk management as a determinant for asset and liability management
Paolo Tonucci and Andreas Bohn (Barclays)

Part II: Management of interest rate risk

4. Measuring and managing interest rate and basis risk
Giovanni Gentili and Nicola Santini (European Investment Bank)

5. The modelling of non-maturity deposits
George Soulellis (Barclays)

6. Modelling non-maturing deposits with stochastic interest rates and credit spreads
Andreas Bohn (Barclays)

7. Risk management of non-maturity deposits
Marije Elkenbracht-Huizing (ABN AMRO) and Bert-Jan Nauta (Double Effect)

8. Optimising risk and return of non-maturing products by dynamic replication
Michael Schürle and Florentina Paraschiv (University of St. Gallen)

9. Hedge accounting
Bernhard Wondrak (TriSolutions)

Part III: Management of funding risk

10. The risk of a bank run: liquidity stress testing from regulatory aspects
Matthias Bergner, Patrick Marcus and Maria Adler (Deutsche Bank)

11. Strategies for the management of reserve assets
Andreas Hauschild and Christian Buschmann (Commerzbank AG)

12. Optimal funding tenors
Rene Reinbacher (Barclays)

13. Management and transfer pricing of collateral
Federico Galizia (European Investment Fund) and Giovanni Gentili (European Investment Bank)

Part IV: Balance sheet management

14. Funds transfer pricing in the new normal
Peter Neu (DZ Bank), Pascal Vogt and Michael Widowitz (Boston Consulting Group)

15. Capital instruments under Basel III
Volker Bätz (Credit Suisse)

16. Understanding the price of lending to households
Richard Button, Silvia Pezzini and Neil Rossiter (Bank of England)
Andreas Bohn

Andreas Bohn is managing director for balance sheet strategy at Barclays Treasury. Before joining Barclays, he ran asset and liability management for global transaction banking at Deutsche Bank. Previously, Andreas worked as a market risk manager for interest rates as well as a market maker for interest rate derivatives at Deutsche Bank, where he started his career in quantitative research. Andreas has spoken on asset liability modelling as well as on the impact of regulations on balance sheet management at conferences in Europe and the US and is the author of related publications. He is a graduate of the University of Münster and holds a PhD from the University of Augsburg.

Marije Elkenbracht-Huizing

Marije Elkenbracht-Huizing is director of Market and asset and liability management/treasury risk at ABN AMRO Bank. In this role she is responsible for risk management of the treasury and trading portfolios. Before this, she was managing director ofALM and market risk at NIBC. Previously she performed a leading role at ABN AMRO in the areas of derivative valuation and risk management models, economic capital for market risk and interest rate risk for the banking book, ALM modelling and strategy. She has published and spoken at various international conferences on the topics of ALM modelling and economic capital. She has been a member of the Platform Mathematics Netherlands, which aims to stimulate the contribution of mathematics to innovation. Marije earned master’s and PhD degrees in mathematics from Leiden University.