{"product_id":"bank-asset-and-liability-management-isbn-9780470821350","title":"Bank Asset and Liability Management","description":"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. \u003cp\u003eHighlights of the book include detailed coverage of:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eLiquidity, gap and funding risk management\u003c\/li\u003e \u003cli\u003eHedging using interest-rate derivatives and credit derivatives\u003c\/li\u003e \u003cli\u003eImpact of Basel II\u003c\/li\u003e \u003cli\u003eSecuritisation and balance sheet management\u003c\/li\u003e \u003cli\u003eStructured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM\u003c\/li\u003e \u003cli\u003eTreasury operations and group transfer pricing.\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eConcepts 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.\u003c\/p\u003e \u003cp\u003eCompanion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.\u003c\/p\u003e \u003cp\u003eForeword xi\u003c\/p\u003e \u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAbout the Author xxiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Banking business, bank capital and debt market instruments 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 1 Bank business and bank capital 3\u003c\/p\u003e \u003cp\u003eChapter 2 Financial statements and ratio analysis 29\u003c\/p\u003e \u003cp\u003eChapter 3 The money markets 47\u003c\/p\u003e \u003cp\u003eChapter 4 The bond instrument 133\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Bank Treasury Asset–liability Management 209\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 5 Asset–liability management I 211\u003c\/p\u003e \u003cp\u003eChapter 6 Asset–liability Management II 247\u003c\/p\u003e \u003cp\u003eChapter 7 ALM trading principles 305\u003c\/p\u003e \u003cp\u003eChapter 8 Asset–liability management III: The ALCO 327\u003c\/p\u003e \u003cp\u003eChapter 9 The yield curve 339\u003c\/p\u003e \u003cp\u003eChapter 10 The determinants of the swap spread and understanding the term premium 451\u003c\/p\u003e \u003cp\u003eChapter 11 Introduction to relative spread analysis 477\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III Financial Instruments, Applications and Hedging 491\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 12 Repo instruments 493\u003c\/p\u003e \u003cp\u003eChapter 13 Money market derivatives 539\u003c\/p\u003e \u003cp\u003eChapter 14 Interest-rate swaps and overnight-index swaps 625\u003c\/p\u003e \u003cp\u003eChapter 15 Hedging using bond futures contracts 713\u003c\/p\u003e \u003cp\u003eChapter 16 Credit risk and credit derivatives 745\u003c\/p\u003e \u003cp\u003eChapter 17 Value-at-Risk (VaR) and credit VaR 833\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV Funding and Balance Sheet Management Using Securitisation and Structured Credit Vehicles 881\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 18 Introduction to securitisation 887\u003c\/p\u003e \u003cp\u003eChapter 19 Structured, synthetic and repackaged funding vehicles 921\u003c\/p\u003e \u003cp\u003eChapter 20 Mortgage-backed securities and covered bonds 961\u003c\/p\u003e \u003cp\u003eChapter 21 Asset-backed securities 999\u003c\/p\u003e \u003cp\u003eChapter 22 Collateralised debt obligations 1021\u003c\/p\u003e \u003cp\u003eChapter 23 Synthetic collateralised debt obligations 1059\u003c\/p\u003e \u003cp\u003eChapter 24 Synthetic mortgage-backed securities 1139\u003c\/p\u003e \u003cp\u003eChapter 25 Structured investment vehicles 1147\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart V Bank Regulatory Capital 1161\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 26 Bank regulatory capital and the Basel rules 1165\u003c\/p\u003e \u003cp\u003eChapter 27 A Primer on Basel II 1195\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart VI Treasury Middle Office Operations 1241\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 28 Funding and Treasury procedures for banking corporations 1243\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart VII Applications Software Enclosed with the Book 1261\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChapter 29 Applications software and spreadsheet models 1263\u003c\/p\u003e \u003cp\u003eAppendix Financial markets arithmetic 1277\u003c\/p\u003e \u003cp\u003eGlossary 1315\u003c\/p\u003e \u003cp\u003eIndex 1383\u003c\/p\u003e \u003cb\u003eMoorad Choudhry\u003c\/b\u003e 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. \u003cbr\u003eMoorad 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 \u003ci\u003eThe Handbook of European Fixed Income Securities\u003c\/i\u003e. \u003cp\u003eBanks 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.\u003c\/p\u003e \u003cp\u003eHighlights of the book include detailed coverage of:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eliquidity, gap and funding risk management\u003c\/li\u003e \u003cli\u003ehedging using interest-rate derivatives and credit derivatives\u003c\/li\u003e \u003cli\u003eimpact of Basel II\u003c\/li\u003e \u003cli\u003esecuritisation and balance sheet management\u003c\/li\u003e \u003cli\u003estructured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM\u003c\/li\u003e \u003cli\u003etreasury operations and group transfer pricing.\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eConcepts 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.\u003c\/p\u003e  \"Again, Moorad Choudhry takes his readers beyond the older books in the market that simply list a string of facts, and into a world of highly practical and up-to-the-minute concepts and strategies. Bank asset-liability management is about knowing when and how to use all the tools available…This book tackles the whole spectrum.\"\u003cbr\u003e —\u003cb\u003ePeter Eisenhardt,\u003c\/b\u003e Head of Short Term Fixed Income Origination, Debt Capital Markets, Bank of America, N.A.  \u003cp\u003e\"Like the author's book \u003ci\u003eThe Bond and Money Markets:Strategy, Trading, Analysis\u003c\/i\u003e, this is again a superb example how a financial book should be written.... The book comes highly recommended.\"\u003cbr\u003e —\u003cb\u003eTibor Szigeti\u003c\/b\u003e, Fixed Income Analytics, Bloomberg L.P., London\u003c\/p\u003e \u003cp\u003e\"An informative account of banking ALM from the point of view of the market practitioner.\"\u003cbr\u003e —\u003cb\u003eShahid Ikram\u003c\/b\u003e, Head of UK Sovereign bonds and G7 hedge fund, Morley Fund Management LT\u003c\/p\u003e \u003cp\u003e\"A highly readable text which serves as an essential primer for both market practitioners and academics alike to help understand the rapidly evolving risk management techniques used by Treasury and Money Market desks.\"\u003cbr\u003e —\u003cb\u003eAdam Sutton\u003c\/b\u003e, Head of European Repo, Global Funding Desk, Bank of America, London\u003c\/p\u003e \u003cp\u003e\"\u003ci\u003eBank Asset and Liability Management\u003c\/i\u003e offers a clear, insightful perspective of the global banking and liquidity markets.... This book is a great reference tool for all finance professionals. Really, really impressive.\"\u003cbr\u003e —\u003cb\u003eBhavin Parmar\u003c\/b\u003e, Securities Finance Trader, ABN Amro Bank N.V., London\u003c\/p\u003e \u003cp\u003e\"A brilliant and comprehensive account of all the various disciplines that make up the art of bank asset-liability management. A fantastic work! Every bank should have a copy of this book.\"\u003cbr\u003e —\u003cb\u003eMohamoud Barre Dualeh,\u003c\/b\u003e Private Banking Unit, Abu Dhabi Commercial Bank, UAE\u003c\/p\u003e \u003cp\u003e\"This latest publication is an essential read for anyone involved in the industry. Moorad delivers financial theories in a practical and entertaining package.\"\u003cbr\u003e \u003cb\u003e—Mark Williams\u003c\/b\u003e (Director) and \u003cb\u003eWei Lieh Goh,\u003c\/b\u003e Hedge Fund Derivatives, KBC Financial Products, London\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988787380453,"sku":"NP9780470821350","price":142.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470821350.jpg?v=1761781589","url":"https:\/\/k12savings.com\/es\/products\/bank-asset-and-liability-management-isbn-9780470821350","provider":"K12savings","version":"1.0","type":"link"}