{"product_id":"asset-liability-and-liquidity-management-isbn-9781119701880","title":"Asset-Liability and Liquidity Management","description":"\u003cp\u003e\u003ci\u003eAsset-Liability and Liquidity Management\u003c\/i\u003e distils the author’s extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author’s own experience in the industry.\u003c\/p\u003e \u003cp\u003eThe author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses.\u003c\/p\u003e \u003cp\u003eLearn from the best as Dr. Farahvash takes you through basic and advanced topics, including:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eThe fundamentals of analytical finance\u003c\/li\u003e \u003cli\u003eDetailed explanations of financial valuation models for a variety of products\u003c\/li\u003e \u003cli\u003eThe principle of economic value of equity and value-at-risk\u003c\/li\u003e \u003cli\u003eThe principle of net interest income and earnings-at-risk\u003c\/li\u003e \u003cli\u003eLiquidity risk\u003c\/li\u003e \u003cli\u003eFunds transfer pricing\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eA detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.\u003c\/p\u003e \u003cp\u003eAbout the Author xvii\u003c\/p\u003e \u003cp\u003ePreface xix\u003c\/p\u003e \u003cp\u003eAbbreviations xxiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIntroduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAsset-Liability Management Metrics 5\u003c\/p\u003e \u003cp\u003eALM Risk Factors 7\u003c\/p\u003e \u003cp\u003eOrganization of This Book 8\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Interest Rate 17\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInterest Rate, Future Value, and Compounding 18\u003c\/p\u003e \u003cp\u003eUse of Time Notation versus Period Notation 22\u003c\/p\u003e \u003cp\u003eSimple Interest 23\u003c\/p\u003e \u003cp\u003eAccrual and Payment Periods 24\u003c\/p\u003e \u003cp\u003ePresent Value and Discount Factor 29\u003c\/p\u003e \u003cp\u003ePresent Value of Several Cash Flows 32\u003c\/p\u003e \u003cp\u003ePresent Value of Annuity and Perpetuity 33\u003c\/p\u003e \u003cp\u003eDay Count and Business Day Conventions 34\u003c\/p\u003e \u003cp\u003eTreasury Yield Curve and Zero-Coupon Rate 40\u003c\/p\u003e \u003cp\u003eBootstrapping 43\u003c\/p\u003e \u003cp\u003eLIBOR 48\u003c\/p\u003e \u003cp\u003eForward Rates and Future Rates 49\u003c\/p\u003e \u003cp\u003eImplied Forward Rates 50\u003c\/p\u003e \u003cp\u003eForward Rate Agreements 55\u003c\/p\u003e \u003cp\u003eInterest Rate Futures 56\u003c\/p\u003e \u003cp\u003eSwap Rate 58\u003c\/p\u003e \u003cp\u003eDetermination of the Swap Rate 61\u003c\/p\u003e \u003cp\u003eValuation of Interest Rate Swap Contracts 66\u003c\/p\u003e \u003cp\u003eLIBOR-Swap Spot Curve 70\u003c\/p\u003e \u003cp\u003eInterpolation Methods 75\u003c\/p\u003e \u003cp\u003ePiecewise Linear Interpolation 76\u003c\/p\u003e \u003cp\u003ePiecewise Cubic Spline Interpolation 78\u003c\/p\u003e \u003cp\u003eFederal Funds and Prime Rates 84\u003c\/p\u003e \u003cp\u003eOvernight Index Swap Rate 87\u003c\/p\u003e \u003cp\u003eOIS Discounting 88\u003c\/p\u003e \u003cp\u003eSecured Overnight Financing Rate 94\u003c\/p\u003e \u003cp\u003eComponents of Interest Rate 95\u003c\/p\u003e \u003cp\u003eRisk Structure of Interest Rate 97\u003c\/p\u003e \u003cp\u003eTerm Structure of Interest Rate 98\u003c\/p\u003e \u003cp\u003eExpectation Theory 100\u003c\/p\u003e \u003cp\u003eMarket Segmentation Theory 102\u003c\/p\u003e \u003cp\u003eLiquidity Premium Theory 102\u003c\/p\u003e \u003cp\u003eInflation and Interest Rate 102\u003c\/p\u003e \u003cp\u003eNegative Interest Rate 103\u003c\/p\u003e \u003cp\u003eInterest Rate Shock 105\u003c\/p\u003e \u003cp\u003eParallel Shock 106\u003c\/p\u003e \u003cp\u003eNon-Parallel Shock 107\u003c\/p\u003e \u003cp\u003eInterest Rate Risk 109\u003c\/p\u003e \u003cp\u003eSummary 110\u003c\/p\u003e \u003cp\u003eNotes 112\u003c\/p\u003e \u003cp\u003eBibliography 114\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Valuation: Fundamentals of Fixed-Income and Non-Maturing Products 115\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrincipal Amortization 116\u003c\/p\u003e \u003cp\u003eBullet Payment at Maturity 116\u003c\/p\u003e \u003cp\u003eLinear Amortization 117\u003c\/p\u003e \u003cp\u003eConstant Payment Amortization 118\u003c\/p\u003e \u003cp\u003eSum-of-Digits Amortization 121\u003c\/p\u003e \u003cp\u003eCustom Amortization Schedule 123\u003c\/p\u003e \u003cp\u003eFixed-Rate Instrument 124\u003c\/p\u003e \u003cp\u003eValuation 124\u003c\/p\u003e \u003cp\u003eYield 130\u003c\/p\u003e \u003cp\u003eDuration and Convexity 133\u003c\/p\u003e \u003cp\u003eDollar Duration and Dollar Convexity 142\u003c\/p\u003e \u003cp\u003ePortfolio Duration and Convexity 143\u003c\/p\u003e \u003cp\u003eEffective Duration and Effective Convexity 144\u003c\/p\u003e \u003cp\u003eInterest Rate Risk Immunization 145\u003c\/p\u003e \u003cp\u003eKey Rate Duration 155\u003c\/p\u003e \u003cp\u003eFisher-Weil Duration 156\u003c\/p\u003e \u003cp\u003eKey Rate Duration 160\u003c\/p\u003e \u003cp\u003eFloating-Rate Instrument 165\u003c\/p\u003e \u003cp\u003ePre-Period-Initiation Rate Setting 166\u003c\/p\u003e \u003cp\u003ePost-Period-Initiation Rate Setting 166\u003c\/p\u003e \u003cp\u003eValuation Using Estimated Interest Rates at Future Reset Dates 168\u003c\/p\u003e \u003cp\u003eUsing Implied Forward Rate 168\u003c\/p\u003e \u003cp\u003eUsing Forecasted Rate 171\u003c\/p\u003e \u003cp\u003eValuation Using Assumption of Par Value at Next Reset Date 177\u003c\/p\u003e \u003cp\u003eDuration and Convexity 182\u003c\/p\u003e \u003cp\u003eValuation Using Simulated Interest Rate Paths 184\u003c\/p\u003e \u003cp\u003eNon-Maturing Instrument 191\u003c\/p\u003e \u003cp\u003eNo New Business Treatment 192\u003c\/p\u003e \u003cp\u003eNo New Account Treatment 196\u003c\/p\u003e \u003cp\u003eConstant Balance Treatment 197\u003c\/p\u003e \u003cp\u003eInclusion of Prepayment and Default: A Roll Forward Approach 198\u003c\/p\u003e \u003cp\u003eSummary 207\u003c\/p\u003e \u003cp\u003eNotes 210\u003c\/p\u003e \u003cp\u003eBibliography 210\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Equity Valuation 213\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDividend Discount Model 214\u003c\/p\u003e \u003cp\u003eDiscounted Free Cash Flow Method 217\u003c\/p\u003e \u003cp\u003eComparative Valuation Using Price Ratios 226\u003c\/p\u003e \u003cp\u003eSummary 233\u003c\/p\u003e \u003cp\u003eNote 234\u003c\/p\u003e \u003cp\u003eBibliography 235\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Option Valuation 237\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStock Option 238\u003c\/p\u003e \u003cp\u003eBoundary Values 240\u003c\/p\u003e \u003cp\u003eCall Option 241\u003c\/p\u003e \u003cp\u003ePut Option 243\u003c\/p\u003e \u003cp\u003ePut–Call Parity 247\u003c\/p\u003e \u003cp\u003eUnderlying Stock Does Not Pay Dividends 247\u003c\/p\u003e \u003cp\u003eUnderlying Stock Pays Dividends or Provides Yield 251\u003c\/p\u003e \u003cp\u003eBinomial Tree 252\u003c\/p\u003e \u003cp\u003eThe Black–Scholes–Merton Model 267\u003c\/p\u003e \u003cp\u003eGeneralization of the Black–Scholes–Merton Model 272\u003c\/p\u003e \u003cp\u003eOption Valuation Using Monte Carlo Simulation 273\u003c\/p\u003e \u003cp\u003eSensitivity of Option Value 282\u003c\/p\u003e \u003cp\u003eSensitivity to Underlying Price 282\u003c\/p\u003e \u003cp\u003eSensitivity to Volatility 288\u003c\/p\u003e \u003cp\u003eSensitivity to the Interest Rate 290\u003c\/p\u003e \u003cp\u003eSensitivity to the Passage of Time 291\u003c\/p\u003e \u003cp\u003eVolatility 292\u003c\/p\u003e \u003cp\u003eHistorical Volatility 292\u003c\/p\u003e \u003cp\u003eImplied Volatility 295\u003c\/p\u003e \u003cp\u003eNon-Constant Volatility 297\u003c\/p\u003e \u003cp\u003eARCH and GARCH Models 298\u003c\/p\u003e \u003cp\u003eForecasting Volatility Using the GARCH Model 303\u003c\/p\u003e \u003cp\u003eThe GARCH-M Model 305\u003c\/p\u003e \u003cp\u003eThe Exponentially Weighted Moving Average Model 306\u003c\/p\u003e \u003cp\u003eThe EWMA Model for Covariance 310\u003c\/p\u003e \u003cp\u003eOption Valuation Using a GARCH Model 312\u003c\/p\u003e \u003cp\u003eFutures Options 319\u003c\/p\u003e \u003cp\u003eFutures Contract 319\u003c\/p\u003e \u003cp\u003eOption on Futures Contract 320\u003c\/p\u003e \u003cp\u003ePut–Call Parity for Futures Options 323\u003c\/p\u003e \u003cp\u003eBlack Model 324\u003c\/p\u003e \u003cp\u003eUsing a Binomial Tree for Valuation of Futures Options 326\u003c\/p\u003e \u003cp\u003eSummary 328\u003c\/p\u003e \u003cp\u003eAnnex 1: Derivation of Put–Call Parity When the Underlying Pays Dividends 331\u003c\/p\u003e \u003cp\u003eAnnex 2: Derivation of Delta, Gamma, Vega, Rho, and Theta 338\u003c\/p\u003e \u003cp\u003eNotes 343\u003c\/p\u003e \u003cp\u003eBibliography 344\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Interest Rate Models 347\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInstantaneous Forward Rate and Short Rate 347\u003c\/p\u003e \u003cp\u003eVasicek Model 354\u003c\/p\u003e \u003cp\u003eHull-White Model 358\u003c\/p\u003e \u003cp\u003eHo-Lee Model 366\u003c\/p\u003e \u003cp\u003eBlack-Karasinski Model 367\u003c\/p\u003e \u003cp\u003eInterest Rate Options 368\u003c\/p\u003e \u003cp\u003eSwaption 368\u003c\/p\u003e \u003cp\u003eInterest Rate Cap and Floor 370\u003c\/p\u003e \u003cp\u003eAnalytical Valuation of Bonds and Options 373\u003c\/p\u003e \u003cp\u003eZero-Coupon Bond 373\u003c\/p\u003e \u003cp\u003eOption on a Zero-Coupon Bond 374\u003c\/p\u003e \u003cp\u003eInterest Rate Cap and Floor 375\u003c\/p\u003e \u003cp\u003eOption on a Coupon-Bearing Bond 376\u003c\/p\u003e \u003cp\u003eSwaption 376\u003c\/p\u003e \u003cp\u003eInterest Rate Tree 377\u003c\/p\u003e \u003cp\u003eThe Hull-White Tree 382\u003c\/p\u003e \u003cp\u003eThe Black-Karasinski Tree 400\u003c\/p\u003e \u003cp\u003eCalibration 405\u003c\/p\u003e \u003cp\u003eCalibration Using the Analytical Method 408\u003c\/p\u003e \u003cp\u003eCalibration Using the Interest Rate Tree 413\u003c\/p\u003e \u003cp\u003eLIBOR Market Model 420\u003c\/p\u003e \u003cp\u003eSummary 425\u003c\/p\u003e \u003cp\u003eAnnex: Derivation of Zero-Coupon Bond Price Using a Δt-Period Rate from the Hull-White Tree 427\u003c\/p\u003e \u003cp\u003eNotes 429\u003c\/p\u003e \u003cp\u003eBibliography 430\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Valuation of Bonds with Embedded Options 433\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCallable Bond 433\u003c\/p\u003e \u003cp\u003eOption-Adjusted Spread 441\u003c\/p\u003e \u003cp\u003ePutable Bond 444\u003c\/p\u003e \u003cp\u003eSummary 446\u003c\/p\u003e \u003cp\u003eNote 447\u003c\/p\u003e \u003cp\u003eBibliography 447\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Valuation of Mortgage-Backed and Asset-Backed Securities 449\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMortgage-Backed Securities 450\u003c\/p\u003e \u003cp\u003eFixed-Rate Conventional Mortgage Loans 452\u003c\/p\u003e \u003cp\u003ePrepayment 460\u003c\/p\u003e \u003cp\u003eImpact of Prepayment on Mortgage-Backed Securities 463\u003c\/p\u003e \u003cp\u003eValuation of Mortgage-Backed Securities 476\u003c\/p\u003e \u003cp\u003eShort Rate Model 476\u003c\/p\u003e \u003cp\u003eMortgage Refinancing Rate Model 480\u003c\/p\u003e \u003cp\u003ePrepayment Model 483\u003c\/p\u003e \u003cp\u003eCash Flow Generator 483\u003c\/p\u003e \u003cp\u003eDiscounting and Aggregation Platform 484\u003c\/p\u003e \u003cp\u003eNumber of Simulated Paths and Convergence 486\u003c\/p\u003e \u003cp\u003eImpact of Default on Mortgage-Backed Securities 488\u003c\/p\u003e \u003cp\u003eCollateralized Mortgage Obligations 503\u003c\/p\u003e \u003cp\u003eValuation of Collateralized Mortgage Obligations 511\u003c\/p\u003e \u003cp\u003eAsset-Backed Securities 513\u003c\/p\u003e \u003cp\u003eAuto Loan ABSs 517\u003c\/p\u003e \u003cp\u003eCollateral 517\u003c\/p\u003e \u003cp\u003eStructure 520\u003c\/p\u003e \u003cp\u003ePrepayment 521\u003c\/p\u003e \u003cp\u003eHome Equity Loan ABSs 522\u003c\/p\u003e \u003cp\u003eCollateral 522\u003c\/p\u003e \u003cp\u003eStructure 523\u003c\/p\u003e \u003cp\u003ePrepayment 524\u003c\/p\u003e \u003cp\u003eStudent Loan ABSs 524\u003c\/p\u003e \u003cp\u003eCollateral 524\u003c\/p\u003e \u003cp\u003eStructure 528\u003c\/p\u003e \u003cp\u003ePrepayment 529\u003c\/p\u003e \u003cp\u003eCredit Card Receivable ABSs 529\u003c\/p\u003e \u003cp\u003eCollateral 529\u003c\/p\u003e \u003cp\u003eStructure 530\u003c\/p\u003e \u003cp\u003eCash Flow Distribution Method 531\u003c\/p\u003e \u003cp\u003ePrepayment 534\u003c\/p\u003e \u003cp\u003eEarly Amortization Event 534\u003c\/p\u003e \u003cp\u003eValuation of Asset-Backed Securities 535\u003c\/p\u003e \u003cp\u003eSummary 550\u003c\/p\u003e \u003cp\u003eAnnex: Derivation of Survival Factor 552\u003c\/p\u003e \u003cp\u003eNotes 553\u003c\/p\u003e \u003cp\u003eBibliography 554\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Economic Value of Equity 557\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEconomic Value of Equity: Basics 559\u003c\/p\u003e \u003cp\u003eDuration Gap 562\u003c\/p\u003e \u003cp\u003eRisk-Adjusted Yield Curve 567\u003c\/p\u003e \u003cp\u003eInterest Rate Scenario Analysis 574\u003c\/p\u003e \u003cp\u003eProduct Type and Value Sensitivity 575\u003c\/p\u003e \u003cp\u003eImpact of Interest Rate Shocks on EVE 584\u003c\/p\u003e \u003cp\u003eBalance Sheet Type and EVE Sensitivity 593\u003c\/p\u003e \u003cp\u003eCurrency Exchange Rate Scenario Analysis 594\u003c\/p\u003e \u003cp\u003eEconomic Value of Equity Risk Limits 597\u003c\/p\u003e \u003cp\u003eBalance Sheet Planning and EVE Forecasting 597\u003c\/p\u003e \u003cp\u003eBasel Accord Guidance on EVE Analysis 600\u003c\/p\u003e \u003cp\u003ePrinciples of Managing Interest Rate Risk in the Banking Book 601\u003c\/p\u003e \u003cp\u003eScenario Construction and EVE Analysis 604\u003c\/p\u003e \u003cp\u003eStandardized Framework 607\u003c\/p\u003e \u003cp\u003eSummary 608\u003c\/p\u003e \u003cp\u003eNotes 610\u003c\/p\u003e \u003cp\u003eBibliography 611\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Net Interest Income 613\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInterest Income and Expense: Basics 614\u003c\/p\u003e \u003cp\u003eInterest Income and Expense for Floating-Rate Instruments 620\u003c\/p\u003e \u003cp\u003eUsing the Implied Forward Rate 621\u003c\/p\u003e \u003cp\u003eUsing the Forecasted Rate 631\u003c\/p\u003e \u003cp\u003eIncorporating Balance Sheet Change in NII Analysis 638\u003c\/p\u003e \u003cp\u003eRunoff View: No New Volume 638\u003c\/p\u003e \u003cp\u003eStatic View: Replacement of Matured Positions 642\u003c\/p\u003e \u003cp\u003eDynamic View: Incorporation of Business Plan 644\u003c\/p\u003e \u003cp\u003eEarning Gap 648\u003c\/p\u003e \u003cp\u003eInterest Rate Scenario Analysis 653\u003c\/p\u003e \u003cp\u003eParallel Shocks 654\u003c\/p\u003e \u003cp\u003eNon-Parallel Shocks 664\u003c\/p\u003e \u003cp\u003eBalance Sheet Type and NII Sensitivity 670\u003c\/p\u003e \u003cp\u003eImpact of Interest Rate Options on NII 673\u003c\/p\u003e \u003cp\u003eCurrency Exchange Rate Scenario Analysis 683\u003c\/p\u003e \u003cp\u003eCurrency Forward and Interest Rate Parity 683\u003c\/p\u003e \u003cp\u003eExchange Rate Shock Scenarios 687\u003c\/p\u003e \u003cp\u003eNet Interest Income Hedging 691\u003c\/p\u003e \u003cp\u003eNet Interest Income Risk Limits 697\u003c\/p\u003e \u003cp\u003eRequired Data and Other Considerations in NII Analysis 699\u003c\/p\u003e \u003cp\u003eBasel Accord Guidance on NII Analysis 701\u003c\/p\u003e \u003cp\u003eSummary 702\u003c\/p\u003e \u003cp\u003eNotes 704\u003c\/p\u003e \u003cp\u003eBibliography 704\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Equity and Earnings at Risk 705\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction to Value-at-Risk 706\u003c\/p\u003e \u003cp\u003eVariance-Covariance Method 708\u003c\/p\u003e \u003cp\u003eHistorical Sampling Method 710\u003c\/p\u003e \u003cp\u003eMonte Carlo Simulation Method 713\u003c\/p\u003e \u003cp\u003eConditional Value-at-Risk 717\u003c\/p\u003e \u003cp\u003eApplication of VaR Methodology in ALM 719\u003c\/p\u003e \u003cp\u003eScenario Generation 721\u003c\/p\u003e \u003cp\u003eHistorical Sampling 721\u003c\/p\u003e \u003cp\u003eMonte Carlo Simulation 726\u003c\/p\u003e \u003cp\u003eStandard and Generalized Brownian Motion 726\u003c\/p\u003e \u003cp\u003eMulti-dimensional Brownian Motion 730\u003c\/p\u003e \u003cp\u003eGeometric Brownian Motion 731\u003c\/p\u003e \u003cp\u003eMean-Reverting Brownian Motion 734\u003c\/p\u003e \u003cp\u003eGeometric Mean-Reverting Brownian Motion 739\u003c\/p\u003e \u003cp\u003eCalibration 743\u003c\/p\u003e \u003cp\u003eEquity-at-Risk 743\u003c\/p\u003e \u003cp\u003eInterest Rate Risk Factor 744\u003c\/p\u003e \u003cp\u003eComponent Contribution 748\u003c\/p\u003e \u003cp\u003eApproximation Techniques 749\u003c\/p\u003e \u003cp\u003eCurrency Exchange Rate Risk Factor 752\u003c\/p\u003e \u003cp\u003eSample Size and Convergence 758\u003c\/p\u003e \u003cp\u003eEarnings-at-Risk 762\u003c\/p\u003e \u003cp\u003eInterest Rate Risk Factor 763\u003c\/p\u003e \u003cp\u003eCurrency Exchange Rate Risk Factor 769\u003c\/p\u003e \u003cp\u003eSummary 775\u003c\/p\u003e \u003cp\u003eNotes 776\u003c\/p\u003e \u003cp\u003eBibliography 777\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Liquidity Risk 779\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFunding Source and Liquidity Risk 780\u003c\/p\u003e \u003cp\u003eDeposits 781\u003c\/p\u003e \u003cp\u003eShort-Term Debt 783\u003c\/p\u003e \u003cp\u003eMedium-Term Notes 788\u003c\/p\u003e \u003cp\u003eLong-Term Debt 789\u003c\/p\u003e \u003cp\u003eSecuritization 790\u003c\/p\u003e \u003cp\u003eCredit and Liquidity Facilities 793\u003c\/p\u003e \u003cp\u003eEurodollar Deposit and Federal Funds Market 795\u003c\/p\u003e \u003cp\u003eOther Sources of Funding 796\u003c\/p\u003e \u003cp\u003eShort-Term Secured Funding: Repurchase Agreements 796\u003c\/p\u003e \u003cp\u003eRepo Basics 796\u003c\/p\u003e \u003cp\u003eRepo Margin 800\u003c\/p\u003e \u003cp\u003eCollateral Delivery Methods and Triparty Repo 801\u003c\/p\u003e \u003cp\u003eUse of Repo 802\u003c\/p\u003e \u003cp\u003eSecurity Lending 807\u003c\/p\u003e \u003cp\u003eRepo and Liquidity Risk 809\u003c\/p\u003e \u003cp\u003eManaging Liquidity Risk of Repo 811\u003c\/p\u003e \u003cp\u003eCash Flow Gap Analysis and Liquidity Stress Tests 816\u003c\/p\u003e \u003cp\u003eCash Flow Gap: Business-as-Usual 823\u003c\/p\u003e \u003cp\u003eCash Flow Gap: Idiosyncratic Stress 833\u003c\/p\u003e \u003cp\u003eCash Flow Gap: Market-Wide Stress 841\u003c\/p\u003e \u003cp\u003eCash Flow Gap: Multi-Currency 849\u003c\/p\u003e \u003cp\u003eFunding Concentration Risk 854\u003c\/p\u003e \u003cp\u003eBasel Accord Liquidity Risk Monitoring Tools 855\u003c\/p\u003e \u003cp\u003eLiquidity Coverage Ratio 856\u003c\/p\u003e \u003cp\u003eHigh-Quality Liquid Asset 857\u003c\/p\u003e \u003cp\u003eTotal Net Cash Outflows in Next 30 Days 859\u003c\/p\u003e \u003cp\u003eNet Stable Funding Ratio 873\u003c\/p\u003e \u003cp\u003eAvailable Stable Funding 874\u003c\/p\u003e \u003cp\u003eRequired Stable Funding 874\u003c\/p\u003e \u003cp\u003eIntraday Liquidity 884\u003c\/p\u003e \u003cp\u003eEarly Warning Indicators 892\u003c\/p\u003e \u003cp\u003eLiquidity Contingency Plan 893\u003c\/p\u003e \u003cp\u003eSummary 893\u003c\/p\u003e \u003cp\u003eNotes 896\u003c\/p\u003e \u003cp\u003eBibliography 897\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Funds Transfer Pricing 899\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFunds Transfer Pricing: Basics 900\u003c\/p\u003e \u003cp\u003ePool Method 906\u003c\/p\u003e \u003cp\u003eMatched Maturity Method 910\u003c\/p\u003e \u003cp\u003eFTP Rate for Fixed-Rate Maturing Products 910\u003c\/p\u003e \u003cp\u003eWeighted Average Method 913\u003c\/p\u003e \u003cp\u003eDuration Method 914\u003c\/p\u003e \u003cp\u003eRefinancing Method 915\u003c\/p\u003e \u003cp\u003eFTP Rate for Floating-Rate Maturing Products 917\u003c\/p\u003e \u003cp\u003eFTP Rate for Non-Maturing Products 920\u003c\/p\u003e \u003cp\u003eBehavioral Model Method 920\u003c\/p\u003e \u003cp\u003eReplicating Model Method 930\u003c\/p\u003e \u003cp\u003eComponents of FTP Rate 932\u003c\/p\u003e \u003cp\u003eCharacteristics of a Good FTP System 934\u003c\/p\u003e \u003cp\u003eSummary 936\u003c\/p\u003e \u003cp\u003eNotes 938\u003c\/p\u003e \u003cp\u003eBibliography 938\u003c\/p\u003e \u003cp\u003eAppendix: Elements of Probability and Statistics 939\u003c\/p\u003e \u003cp\u003eIndex 1003\u003c\/p\u003e  \u003cp\u003e\u003cb\u003ePOOYA FARAHVASH\u003c\/b\u003e is vice president of Treasury Modeling and Analytics at American Express Company overseeing development of models used in ALM, liquidity risk management, stress testing, and deposit products. He previously worked at investment bank Jefferies in liquidity risk management and at CIT Group in asset-liability management. His experience in the banking industry is focused in treasury department activities, specifically in areas of interest rate risk, liquidity risk, asset-liability management, deposit modeling, and economic capital. Dr. Farahvash is also an adjunct instructor at New York University, teaching analytical courses. He received his PhD degree in Industrial and Systems Engineering and MS degree in Statistics both from Rutgers University, New Jersey. He currently lives in New York City.   \u003c\/p\u003e\u003cp\u003eTraditional banks, investment banks, hedge funds, and all investment professionals benefit from thoroughly understanding Asset-Liability Management (ALM), Liquidity Risk, and Funds Transfer Pricing (FTP). That's what makes this book a valuable resource. Author Pooya Farahvash leverages his professional experience and expertise to clearly and thoroughly explain these topics. \u003c\/p\u003e\u003cp\u003eHe begins the book with chapters covering the fundamentals of analytical finance. The next section comprehensively discusses a range of financial valuation models and methods for various types of products. \u003c\/p\u003e\u003cp\u003eFollowing this discussion, \u003ci\u003eAsset-Liability and Liquidity Management\u003c\/i\u003e references the fundamentals covered in the initial chapters to explain the two core pillars of ALM: economic value of equity and net interest income. Additionally, Dr. Farahvash devotes individual chapters to concepts of Liquidity Risk and FTP, explaining each thoroughly. Dr. Farahvash covers the basics of FTP, before exploring two significant approaches to FTP: the pool method and the match-maturity method, explaining how they apply to fixed-rate, floating-rate, and non-maturing products. \u003c\/p\u003e\u003cp\u003eThe book also features an Appendix covering basic probability and statistics. This promotes a greater understanding of how these topics apply to the specific concepts described throughout the book. \u003c\/p\u003e\u003cp\u003eRisk managers, treasury professionals, and numerous other employees of financial institutions need to not only understand these concepts, but also appreciate why they are relevant. \u003ci\u003eAsset-Liability and Liquidity Management\u003c\/i\u003e helps by offering a clear but comprehensive introduction, allowing anyone to easily grasp what can at first seem to be intimidating concepts.   \u003c\/p\u003e\u003cp\u003e\u003cb\u003eLearn the essentials of Asset-Liability Management, Liquidity Risk, and Funds Transfer Pricing\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eMany financial institutions and professionals must familiarize themselves with numerous concepts to successfully optimize risk management. ALM, FTP, and Liquidity Risk are among the more significant. It's specifically important to understand the step-by-step process of executing ALM analysis. Balance sheet risk management remains a core topic for everyone from internal risk management teams to external regulators. \u003c\/p\u003e\u003cp\u003eLuckily, \u003ci\u003eAsset-Liability and Liquidity Management\u003c\/i\u003e makes understanding these topics easier than ever. Author Pooya Farahvash has substantial experience applying them in his own career. Having worked in asset-liability management and modeling at major financial institutions, Dr. Farahvash has the expertise necessary to explain everything a reader needs to know about these concepts, as well as why they are important and how they may be applied in a practical setting. \u003c\/p\u003e\u003cp\u003eIt's crucial that risk management professionals at financial institutions understand these ideas. \u003ci\u003eAsset-Liability and Liquidity Management\u003c\/i\u003e ensures its readers do.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988769816805,"sku":"NP9781119701880","price":59.95,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119701880.jpg?v=1761781522","url":"https:\/\/k12savings.com\/products\/asset-liability-and-liquidity-management-isbn-9781119701880","provider":"K12savings","version":"1.0","type":"link"}