Bank Asset and Liability Management: Strategy, Trading, by Moorad Choudhry

By Moorad Choudhry

Banks are an integral part of the worldwide financial system, and the essence of banking is asset-liability administration (ALM). This publication is a accomplished therapy of a massive monetary industry self-discipline. A reference textual content for all these inquisitive about banking and the debt capital markets, it describes the suggestions, items and paintings of ALM. matters coated contain financial institution capital, funds industry buying and selling, possibility administration, regulatory capital and yield curve analysis.

Highlights of the e-book comprise precise assurance of:

  • liquidity, hole and investment danger management
  • hedging utilizing interest-rate derivatives and  credit derivatives
  • impact of Basel II
  • securitisation and stability sheet management
  • structured finance items together with asset-backed advertisement paper, mortgage-backed securities, collateralised debt responsibilities and based funding autos, and their function in ALM
  • treasury operations and workforce move pricing.

Concepts and strategies are illustrated with case stories  and labored examples. Written in obtainable type, this ebook is vital analyzing for marketplace practitioners, financial institution regulators and graduate scholars in banking and finance.

Includes unfastened CD-ROM that comprises software program on functions defined within the booklet, together with a yield curve version, cubic spline spreadsheet calculator and CDO waterfall version.

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Additional resources for Bank Asset and Liability Management: Strategy, Trading, Analysis

Example text

Put simply, the banking book holds the more traditional banking activities such as commercial banking; for example, loans and deposits. 2 The trading book records wholesale market transactions, such as market making and proprietary trading in bonds and derivatives. Again speaking simply, the primary difference between the two books is that the over-riding principle of the banking book is one of “buy and hold”; that is, a long-term acquisition. Assets may be held on the book for up to 30 years or longer.

This would save him having to carry around the gold all the time, because he could collect the money in a different city. This gave rise to a risk of being unbalanced in money at certain times. In Ancient Rome the art of banking was developed to include charging interest on loans, and paying interest on deposits. The first bank to offer most of the basic banking functions known today was the Bank of Barcelona in Spain. Founded by merchants in 1401, this bank held deposits, exchanged currency, and carried out lending operations.

Any opinion expressed does not constitute recommendation to any reader. The contents should not be considered as a recommendation to deal and the author does not accept liability for actions resulting from reading of any material in this book. While every effort has been made to ensure accuracy, no responsibility for loss occasioned to any person acting or refraining from action as a result of any material in this book can be accepted by the author, publisher or any named person or corporate entity.

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