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.
Book Details:
- Author: Moorad Choudhry
- ISBN: 9780470821350
- Year Published: 2007
- Pages: 1440
- BISAC: BUS004000, BUSINESS & ECONOMICS/Banks & Banking
About the Book and Topic:
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.
Within the capital markets, by far the largest sector is that of traditional banking operations i.e. commercial banking and money markets. ALM is at the heart of a banks operations. In terms of countries involved, number of institutions, impact on global economy and individual countries, the impact of ALM far outstrips that of derivatives and structured finance markets (for instance, a recent Economist survey stated that less than 6% of US banks used credit derivatives, whereas 100% of banks will have need of effective ALM procedures and tools). This book fills a large gap in the market. It describes all the different disciplines in ALM money markets, regulatory capital, interest rate and credit risk management and securitisation in a reader-friendly way and aims to make the concept of ALM understandable to all levels of reader.
This book fills a long standing gap in the market. Written in an easy-to-read style, it gathers under one roof all the different disciplines involved in Asset & Liability Management. A key reference for the global banking & finance community. Brings a practitioner’s perspective: the author has traded money markets and is now responsible for ALM at FOP investment bank. Key concepts are clearly illustrated and explained by means of worked examples, case studies and Excel spreadsheets. Includes a CD-Rom with applications software and spreadsheet models.
About the Author
Moorad Choudhry has lectured on the bond markets at the London School of Economics, the ISMA Centre in Reading, London Guildhall University and the International Faculty of Finance, and is a senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School, London. He is a Fellow of the Securities Institute and a Fellow of the Global Association of Risk Professionals. Moorads published work includes journal articles and books. He is also co-author of the book The Global Money Markets, written with Professor Frank Fabozzi. Moorad obtained an MA in Economics from the University of Reading and an MBA from Henley Management College. He is in the process of completing his PhD from Birkbeck, University of London. He is also Editor of the Journal of Bond Trading and Management.