Bank Asset and Liability Management Strategy, Trading, Analysis

Choudhry, Moorad

ISBN 10: 0470821353 / ISBN 13: 9780470821350

Published by John Wiley & Sons Inc, 2007

About this Item

hardback/cd-rom edition. 1415 pages. 9.25x6.00x3.00 inches. In Stock.

Seller Inventory # __0470821353

Bibliographic Details

• Title: Bank Asset and Liability Management Strategy, Trading, Analysis
• Publisher: John Wiley & Sons Inc
• Publication Date: 2007
• Language: English
• ISBN 10: 0470821353
• ISBN 13: 9780470821350
• Binding: Hardcover
• Condition: Brand New
• Weight: 1.66 kilograms

About this title

Synopsis

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 analysis.

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 commercial paper, mortgage-backed securities, collateralised debt obligations and 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 is essential reading for market practitioners, bank regulators, and graduate students in banking and finance.

Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.

About the Author

Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance with JPMorgan Chase Bank.
Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Fellow of the Securities Institute in the City of London. He is co-editor with Professor Frank Fabozzi of The Handbook of European Fixed Income Securities.