By Moorad Choudhry
Banks are an integral part of the worldwide economic system, and the essence of banking is asset-liability administration (ALM). This ebook is a complete remedy of an incredible monetary marketplace self-discipline. A reference textual content for all these concerned with banking and the debt capital markets, it describes the concepts, items and artwork of ALM. matters lined comprise financial institution capital, cash marketplace buying and selling, danger administration, regulatory capital and yield curve analysis.
Highlights of the ebook comprise unique insurance of:
- liquidity, hole and investment hazard management
- hedging utilizing interest-rate derivatives and credit derivatives
- impact of Basel II
- securitisation and stability sheet management
- structured finance items together with asset-backed advertisement paper, mortgage-backed securities, collateralised debt responsibilities and based funding autos, and their position in ALM
- treasury operations and workforce move pricing.
Concepts and strategies are illustrated with case stories and labored examples. Written in obtainable type, this booklet is key examining for industry practitioners, financial institution regulators and graduate scholars in banking and finance.
Includes loose CD-ROM that includes software program on purposes defined within the publication, together with a yield curve version, cubic spline spreadsheet calculator and CDO waterfall version.
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Additional info for Bank Asset and Liability Management: Strategy, Trading, Analysis
Further significant elements of cost are provisions for loan losses, which are a charge against the loan revenues of the bank. The provision is based on a subjective measure by management of how much of the loan portfolio can be expected to be repaid by the borrower. The capital markets Capital markets is the term used to describe the market for raising and investing finance. The economies of developed countries and a large number of developing countries are based on financial systems that contain investors and borrowers, markets and trading arrangements.
Banks are the cornerstone of the global economy, and at the highest level the banking sector influences, and is influenced by, macroeconomic trends such as GDP growth, central bank base interest rates, equity and debt capital markets activity, and the supply and demand for investments and credit. However, notwithstanding our first statement that banks now engage in many complex activities outside traditional borrowing and lending, we must remember that at the core of all capital markets activity lies the need to bring together the suppliers of capital with the borrowers of capital.
A market can be one in the traditional sense such as an exchange where financial instruments are bought and sold on a trading floor, or it may refer to one where participants deal with each other over the telephone or via electronic screens. The basic principles are the same in any type of market. There are two primary users of the capital markets: lenders and borrowers. The source of lenders’ funds is, to a large extent, the personal sector made up of household savings and those acting as their investment managers such as life assurance companies and pension funds.
Bank Asset and Liability Management: Strategy, Trading, Analysis by Moorad Choudhry