Bank Asset and Liability Management Strategy, Trading, Analysis

by Choudhry, Moorad; Carter, Darren

• ISBN13: 9780470821350
• ISBN10: 0470821353
• Edition: 1st
• Format: Hardcover
• Copyright: 2007-04-13
• Publisher: WILEY

Summary

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.

Author Biography

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. <p> 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.

Table of Contents

Introduction to Financial Markets

Time Value of Money

The Money Markets

Asset-Liability Management

Credit Risk Management

Derivatives in Interest-rate Management

Value-at-Risk for Banks

Banking Regulatory Capital

Securitisation

Table of Contents provided by Publisher. All Rights Reserved.