Handbook of Asset and Liability Management
From Models to Optimal Return Strategies
Wiley Finance Series
1. Edition October 2007
2007. 576 Pages, Hardcover
- Practical Approach Book -
ISBN 978-0-470-03496-5 - John Wiley & Sons
E-Books are also available on all known E-Book shops.
The Handbook of Asset & Liability Management: From Models to Optimal Return Strategies is a Comprehensive resource for Asset and Liability Management (ALM) Professionals, providing the very latest global coverage of the topic.
Starting with a look at the history of Asset and Liability Management and the current climate, the book then examines a range of accounting and auditing obligations, including IFRS and balance sheet presentation. Balance sheet items and products modelling are then explained in detail as well as the entire associated range of financial and non-financial risks. As well as the practical issues encountered by ALM managers, the Handbook of Asset Liability Management also considers the growing quantitative aspects of the role, looking at a range of technical tools and applications including market simulations, stochastic calculations, delta equivalent computations, and traditional and non-traditional statistical tools.
The book then discusses capital requirements within the ALM context, notably the impacts of Basel II and solvency II and economic capital indicators. The final section of the book explains optimal return strategies, looking at risk perfect hedging, limits policies, income smoothing strategies and economic value management.
The accompanying CD ROM features demonstrations of some basic ALM problems such as ALM Delta Equivalent computation; FTP computation and ALM risk indicators computation. It also includes modelling examples such as demand deposits, savings and prepayment modelling; and practical examples taken from a simplified retail Banking ALM framework.
From the contents
About the author.
PART I INTRODUCTION.
1 The History of ALM.
2 What is Asset and Liability Management Today?
PART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING.
3 Balance Sheet Presentation.
4 "Accrued Accounting" for Interest Rate Instruments Versus "Marked-to-Market" Accounting.
5 IFRS and IAS Accounting.
6 "Economic Accounting": Fair Value and Full Fair Value.
7 Internal Transfer Pricing or Fund Transfer Pricing (FTP).
8 ALM as a Profit Centre.
9 Optimal Organization of an ALM Team.
PART III BALANCE SHEET ITEMS AND PRODUCTS MODELLING.
10 Behavioural Modelling Principles.
11 Deposits and Savings.
14 Other Examples of Products Needing Behavioural Modelling.
15 Examples of Products Partially Correlated with Financial Markets.
16 New Production Modelling.
17 Insurance Products.
18 Hedging Instruments.
PART IV RISK MANAGEMENT FOR ASSET AND LIABILITY MANAGERS.
19 Financial Risks.
20 Non-Financial Risks.
PART V TOOLS FOR ASSET AND LIABILITY MANAGERS.
21 Simulation Tools for Interest Rates and Other Financial Indexes.
22 Delta Equivalent Computation.
23 Technical Tools Useful in ALM.
PART VI ECONOMIC VALUE AND NEW RISK INDICATORS ASSOCIATED WITH THE BASEL II AND SOLVENCY II REGULATORY PERSPECTIVE.
24 Basel II Regulation and Solvency II.
25 Links Between ALM and Financial Analysis.
26 Towards Economic Capital Indicators.
PART VII OPTIMAL RETURN STRATEGIES.
27 Risk Perfect Hedging Using the Delta Equivalent Technique.
28 Limits Policy.
29 Income Smoothing Strategies.
30 Economic Value Management: The A/L Manager's Optimization Programme Under Economic Capital Constraints and Accounting Constraints.
31 Application to Banking Book Activities.
32 Economic Value Management in Insurance Companies and in Capital Book Management.
PART VIII CONCLUSIONS ON THE ALM OF TOMORROW.
33 Conclusions on the Future of ALM.
PART IX ANNEXES.
34 Statistical Advanced Tools.
35 The Basis of Interest Rate Modelling.