E-Book, Englisch, 1440 Seiten, E-Book
Choudhry Bank Asset and Liability Management
1. Auflage 2011
ISBN: 978-1-118-17721-1
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
Strategy, Trading, Analysis
E-Book, Englisch, 1440 Seiten, E-Book
ISBN: 978-1-118-17721-1
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
Banks are a vital part of the global economy, and the essence ofbanking is asset-liability management (ALM). This book is acomprehensive treatment of an important financial marketdiscipline. A reference text for all those involved in banking andthe debt capital markets, it describes the techniques, products andart of ALM. Subjects covered include bank capital, money markettrading, risk management, regulatory capital and yield curveanalysis.
Highlights of the book include detailed coverage of:
* liquidity, gap and funding risk management
* hedging using interest-rate derivatives and credit derivatives
* impact of Basel II
* securitisation and balance sheet management
* structured finance products including asset-backed commercialpaper, mortgage-backed securities, collateralised debt obligationsand structured investment vehicles, and their role in ALM
* treasury operations and group transfer pricing.
Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book isessential reading for market practitioners, bank regulators andgraduate students in banking and finance.
Includes free CD-ROM that contains software on applicationsdescribed in the book, including a yield curve model, cubic splinespreadsheet calculator and CDO waterfall model.
Autoren/Hrsg.
Weitere Infos & Material
Foreword xi
Preface xiii
About the Author xxiii
Part I Banking business, bank capital and debt marketinstruments 1
Chapter 1 Bank business and bank capital 3
Chapter 2 Financial statements and ratio analysis 29
Chapter 3 The money markets 47
Chapter 4 The bond instrument 133
Part II Bank treasury asset-liability management209
Chapter 5 Asset-liability management I 211
Chapter 6 Asset-liability management II 247
Chapter 7 ALM trading principles 305
Chapter 8 Asset-liability management III: The ALCO 327
Chapter 9 The yield curve 339
Chapter 10 The determinants of the swap spread and understandingthe term premium 451
Chapter 11 Introduction to relative spread analysis 477
Part III Financial instruments, applications and hedging491
Chapter 12 Repo instruments 493
Chapter 13 Money market derivatives 539
Chapter 14 Interest-rate swaps and overnight-index swaps 625
Chapter 15 Hedging using bond futures contracts 713
Chapter 16 Credit risk and credit derivatives 745
Chapter 17 Value-at-Risk (VaR) and credit VaR 833
Part IV Funding and balance sheet management usingsecuritisation and structured credit vehicles 881
Chapter 18 Introduction to securitisation 887
Chapter 19 Structured, synthetic and repackaged funding vehicles921
Chapter 20 Mortgage-backed securities and covered bonds 961
Chapter 21 Asset-backed securities 999
Chapter 22 Collateralised debt obligations 1021
Chapter 23 Synthetic collateralised debt obligations 1059
Chapter 24 Synthetic mortgage-backed securities 1139
Chapter 25 Structured investment vehicles 1147
Part V Bank regulatory capital 1161
Chapter 26 Bank regulatory capital and the Basel rules 1165
Chapter 27 A primer on Basel II 1195
Part VI Treasury middle office operations 1241
Chapter 28 Funding and Treasury procedures for bankingcorporations 1243
Part VII Applications software enclosed with the book1261
Chapter 29 Applications software and spreadsheet models 1263
Appendix Financial markets arithmetic 1277
Glossary 1315
Index 1383