Series:

The Wiley Finance

1 primary work • 3 total works

Book 422

Cover of Handbook of Asset and Liability Management
In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies , Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.

Cover of Advanced Liquidity Risk Models
A unique approach to ALM, with practical real–world insight

Advanced Liquidity Risk Models takes a quantitative approach to asset and liability management, providing the latest IAS/IFRS, Basel II and Basel III standards along with technical insights and practical instruction. Unique in both its modelling approach and coverage of the unwritten rules of ALM, this book provides deep insight into this increasingly critical role. From management models and liquidity components to advanced modelling and important tools, this book provides an unprecedented level of guidance with broadly applicable content. Each chapter concludes with additional mathematical content, and includes real–world examples and exercises to demonstrate the practical nature of important concepts. Digital ancillaries include demonstrations of ALM problems including Delta Equivalent, FTP, and risk indicator computations, plus practical examples taken from a simplified retail banking ALM framework.

Asset and Liability Management has taken on new importance since the 2007 subprime crisis, but the complexity of the subject makes a unified direction elusive. This book brings it all together under a quantitative umbrella to provide concrete guidance for anyone in the field.

  • Delve into banking management models and liquidity risk
  • Understand liquidity in internal transfer pricing and profit management
  • Model liquidity risk in demand deposits, savings, prepayment, and more
  • Apply advanced risk modelling to Basel III regulation

Given the responsibility for liquidity risk, interest rate risk, and currency risk, ALM has become a prime driver of bank development strategy. New standards and regulations have pushed for uniformity and global understanding, with liquidity constraints putting pressure on hedging strategy. Advanced Liquidity Risk Models offers a comprehensive, quantitative knowledge base that provides clarity in the face of increasing challenges.

Cover of Advanced Interest Rate Risk Models
In Advanced Interest Rate Risk Models, the author walks us through the Interest Rate Components in Internal Transfer Pricing and Interest Rate Profit Management. This is followed by an overview of advanced Interest Rate Risk Modelling in Banking Products then a discussion of advanced Interest Rate Risk Measurement applied to Basel 3 regulation. Advanced Currency Risk Measurement is explained followed by a set of useful tools for Interest Rate Risk Modelling. Mathematical content is included at the end of each chapter but the book is suitable for Asset & Liability Managers. This text includes practical, real-life examples and exercises. Written from a quantitative perspective with economic explanations it will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business.