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
Highlights of the book include detailed coverage of: liquidity,
gap and funding risk managementhedging using interest-rate
derivatives and credit derivativesimpact of Basel IIsecuritisation
and balance sheet managementstructured finance products including
asset-backed commercial paper, mortgage-backed securities,
collateralised debt obligations and structured investment vehicles,
and their role in ALMtreasury operations and group transfer
Concepts 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.
Includes free CD-ROM that contains software on applications
described in the book, including a yield curve model, cubic spline
spreadsheet calculator and CDO waterfall model.
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