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.
By:
Moorad Choudhry (London Metropolitan University)
Foreword by:
Darren Carter (KBC Financial Products)
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Dimensions:
Height: 231mm,
Width: 158mm,
Spine: 64mm
Weight: 1.701kg
ISBN: 9780470821350
ISBN 10: 0470821353
Pages: 1440
Publication Date: 25 May 2007
Audience:
College/higher education
,
Professional and scholarly
,
Professional & Vocational
,
A / AS level
,
Further / Higher Education
Format: Hardback
Publisher's Status: Active
Foreword xi Preface xiii About the Author xxiii Part I Banking business, bank capital and debt market instruments 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 Management 209 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 understanding the term premium 451 Chapter 11 Introduction to relative spread analysis 477 Part III Financial Instruments, Applications and Hedging 491 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 Using Securitisation and Structured Credit Vehicles 881 Chapter 18 Introduction to securitisation 887 Chapter 19 Structured, synthetic and repackaged funding vehicles 921 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 banking corporations 1243 Part VII Applications Software Enclosed with the Book 1261 Chapter 29 Applications software and spreadsheet models 1263 Appendix Financial markets arithmetic 1277 Glossary 1315 Index 1383
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.
