Bank Asset and Liability Management : Strategy, Trading, Analysis

Choudhry, Moorad

ISBN 10: 0470821353 / ISBN 13: 9780470821350

Editore: Wiley, 2007

Unread book in perfect condition. Codice articolo 2066510

Riassunto:

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.

Informazioni sull?autore: 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.

Dati bibliografici

Titolo: Bank Asset and Liability Management : ...
Casa editrice: Wiley
Data di pubblicazione: 2007
Legatura: Rilegato
Condizione: As New