{"product_id":"asset-liability-management-optimisation-isbn-9781119635482","title":"Asset Liability Management Optimisation","description":"\u003cp\u003e\u003cb\u003eAn advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk \u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFinancial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit.  \u003ci\u003eAsset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and\u003c\/i\u003e\u003ci\u003e Remodelling\u003c\/i\u003e offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book.\u003c\/p\u003e \u003cp\u003eALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eA description of the Funds Transfer Pricing (FTP) process related to a bank’s target position\u003c\/li\u003e \u003cli\u003eDetailed examinations of interest rate risk in the banking book (IRRBB)\u003c\/li\u003e \u003cli\u003eDiscussion of Basel III regulatory requirements and maturity gap analysis         \u003c\/li\u003e \u003cli\u003eOverview of customer behavior, along with its impact on interest rate and liquidity risk\u003c\/li\u003e \u003cli\u003ePractical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits)\u003c\/li\u003e \u003cli\u003eExplorations of model risk, sensitivity analysis, and case studies \u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eThe optimization techniques found in \u003ci\u003eAsset Liability Management Optimization\u003c\/i\u003e can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.\u003c\/p\u003e \u003cp\u003eForeword ix\u003c\/p\u003e \u003cp\u003eAbout the Author xi\u003c\/p\u003e \u003cp\u003eIntroduction xiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 ALM of the Banking Book 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Role of Asset Liability Management in Commercial Banks 1\u003c\/p\u003e \u003cp\u003eOverview of Financial Risks Existing in the Banking Book 7\u003c\/p\u003e \u003cp\u003eRegulatory Requirements – Basel III 13\u003c\/p\u003e \u003cp\u003eCapital Requirements According to Basel III\/CRD IV 17\u003c\/p\u003e \u003cp\u003eSelective Review of the Literature Related to ALM and Integrated Management of the Interest Rate Risk and Liquidity Risk in Commercial Banks 19\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Methods of Measurement and Management of the Interest Rate Risk and Liquidity Risk 23\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInterest Rate Risk in the Banking Book – Measurement and Management 24\u003c\/p\u003e \u003cp\u003eExposure to Short-Term Interest Rate Risk – Maturity Gap Analysis 24\u003c\/p\u003e \u003cp\u003eMaturity Gap Analysis from the Economic Value Perspective 33\u003c\/p\u003e \u003cp\u003eLiquidity Risk in the Banking Book – Measurement and Management 41\u003c\/p\u003e \u003cp\u003eShort-Term Liquidity Management Principles 45\u003c\/p\u003e \u003cp\u003eMedium Long-Term Liquidity – The Principles of Structural Liquidity Management 46\u003c\/p\u003e \u003cp\u003eThe Role of Funds Transfer Pricing in Banks 50\u003c\/p\u003e \u003cp\u003ePricing of Different Products in the Banking Book 54\u003c\/p\u003e \u003cp\u003eBehaviouralisation Concept in FTP 57\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Customer Behaviour and Its Impact on Interest Rate and Liquidity Risk 61\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSignificance and Impact of Behavioural Issues in the Banking Book 61\u003c\/p\u003e \u003cp\u003eModelling of Customers’ Deposits – Liabilities Side 63\u003c\/p\u003e \u003cp\u003eBalance Sensitivity Modelling 68\u003c\/p\u003e \u003cp\u003eModelling of Loans with Early Redemption Optionality –Assets Side 70\u003c\/p\u003e \u003cp\u003eStatistical Prepayments 70\u003c\/p\u003e \u003cp\u003eFinancial Prepayments 71\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Formulation of the Optimisation Process and Articulation of the Decision Model 73\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Optimisation Method Applied to the Banking Book 74\u003c\/p\u003e \u003cp\u003eIntroduction of the Optimisation Concept 75\u003c\/p\u003e \u003cp\u003eDefinition of the Initial Banking Book Profile 79\u003c\/p\u003e \u003cp\u003eBuilding the Objective and Constraint Functions in the Optimisation Process 81\u003c\/p\u003e \u003cp\u003eThe Importance of Model Sensitivity Analysis 96\u003c\/p\u003e \u003cp\u003eDefinition of the Sensitivity Parameters for the Optimisation Model 98\u003c\/p\u003e \u003cp\u003e‘Significant Changes in Interest Rates’ Scenario 98\u003c\/p\u003e \u003cp\u003eChanges in the Initial Proportions of the Asset Base 100\u003c\/p\u003e \u003cp\u003eChanges in the Output of the Deposit Characterisation Model – Balance Volatility, Balance Sensitivity, and Average Life of the Product 100\u003c\/p\u003e \u003cp\u003eIntroduction of the CPR into the Model 100\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Practical Example of the Optimisation Process and Quantification of the Economic Impact under Base and Stress Scenarios 101\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCase Study: Economic Impact from the Optimisation Model under Baseline and Sensitivity Scenarios for Bank 1 102\u003c\/p\u003e \u003cp\u003eCase Study: Economic Impact from the Optimisation Model under Baseline and Sensitivity Scenarios for Bank 2 114\u003c\/p\u003e \u003cp\u003eConclusions 125\u003c\/p\u003e \u003cp\u003eAppendix 1 Details of the Analysis Performed for Bank 1 129\u003c\/p\u003e \u003cp\u003eAppendix 2 Details of the Analysis Performed for Bank 2 157\u003c\/p\u003e \u003cp\u003eBibliography 209\u003c\/p\u003e \u003cp\u003eIndex 213\u003c\/p\u003e \u003cp\u003e \u003cb\u003eBEATA LUBINSKA\u003c\/b\u003e is a Founder of BL Advisory \u0026amp; Consulting, a boutique firm based in London. Previously, she has worked in senior positions in a number of financial services companies such as GE Capital, Deloitte, Standard Chartered Bank, and MeDirect Group in London, where her focus was mainly on Interest Rate Risk in the Banking Book (IRRBB), Market Risk, Balance Sheet Management, and Funds Transfer Pricing. She has over 16 years of practical experience developed in the Asset Liability management space gained both in Milan and London. Beata is also a faculty member at The Certificate of Bank Treasury Risk Management, where she teaches optimisation techniques in Asset Liability Management. She holds a PhD in Finance from Wroclaw University of Economics. \u003c\/p\u003e    \u003cp\u003e\u003cb\u003eAn advanced method for financial institutions to optimise Asset Liability Management for maximised return and minimised risk\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eVirtually all financial institutions rely on Asset Liability Management units to match term structures and cash flows of their asset liability portfolios. This has always been key to maximising returns while minimising risk. \u003c\/p\u003e\u003cp\u003eHowever, the role of the ALM unit has evolved and expanded in recent years. Heavy regulation and increased competition have forced banks to constantly seek ways to improve their ALM operations. ALM units must now actively manage regulatory capital and monitor the banking book to ensure their institutions remain profitable and increasing competition for resources has forced Asset Liability Managers to extend beyond the risk management field. \u003c\/p\u003e\u003cp\u003eThese are new challenges. Luckily, there are practical ways to overcome them. \u003ci\u003eAsset Liability Management Optimisation\u003c\/i\u003e will teach you how to develop an ALM operation built to thrive in today’s world. Author Beata Lubinska emphasises a quantifiable and holistic approach, in which interest rate risk and liquidity risk management are combined, helping ALM units precisely determine whether their efforts have yielded genuine improvements. This book is for any ALM professional or unit eager to adapt to new responsibilities and expectations. \u003c\/p\u003e\u003cp\u003eALM operations must evolve for financial institutions to succeed. This invaluable guide explains how they can. \u003c\/p\u003e\u003cp\u003eVisit http:\/\/www.bladvisory.com\/ for more information.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988769849573,"sku":"NP9781119635482","price":94.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119635482.jpg?v=1761781522","url":"https:\/\/k12savings.com\/products\/asset-liability-management-optimisation-isbn-9781119635482","provider":"K12savings","version":"1.0","type":"link"}