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Read e-book online Bank Asset and Liability Management: Strategy, Trading, PDF

By Moorad Choudhry,Irving Henry

Banks are an integral part of the worldwide economic system, and the essence of banking is asset-liability administration (ALM). This publication is a entire therapy of a tremendous monetary industry self-discipline. A reference textual content for all these occupied with banking and the debt capital markets, it describes the recommendations, items and paintings of ALM. matters coated comprise financial institution capital, funds marketplace buying and selling, hazard administration, regulatory capital and yield curve research.

Highlights of the booklet contain unique assurance of:

  • liquidity, hole and investment threat 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 duties and based funding cars, and their function in ALM
  • treasury operations and crew move pricing.

Concepts and strategies are illustrated with case reviews  and labored examples. Written in obtainable sort, this ebook is vital analyzing for industry practitioners, financial institution regulators and graduate scholars in banking and finance.

Includes unfastened CD-ROM that includes software program on purposes defined within the ebook, together with a yield curve version, cubic spline spreadsheet calculator and CDO waterfall model.

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Bank Asset and Liability Management: Strategy, Trading, Analysis by Moorad Choudhry,Irving Henry

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