Asset Liability Management Optimisation
A Practitioner's Guide to Balance Sheet Management and Remodelling
- English
- PDF
- Available on iOS & Android
Asset Liability Management Optimisation
A Practitioner's Guide to Balance Sheet Management and Remodelling
About this book
An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk
Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit. Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book.
ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book.It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM.
- A description of the Funds Transfer Pricing (FTP) process related to a bank's target position
- Detailed examinations of interest rate risk in the banking book (IRRBB)
- Discussion of Basel III regulatory requirements and maturity gap analysis
- Overview of customer behavior, along with its impact on interest rate and liquidity risk
- Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits)
- Explorations of model risk, sensitivity analysis, and case studies
The optimization techniques found in Asset Liability Management Optimization can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.
Frequently asked questions
- Essential is ideal for learners and professionals who enjoy exploring a wide range of subjects. Access the Essential Library with 800,000+ trusted titles and best-sellers across business, personal growth, and the humanities. Includes unlimited reading time and Standard Read Aloud voice.
- Complete: Perfect for advanced learners and researchers needing full, unrestricted access. Unlock 1.4M+ books across hundreds of subjects, including academic and specialized titles. The Complete Plan also includes advanced features like Premium Read Aloud and Research Assistant.
Please note we cannot support devices running on iOS 13 and Android 7 or earlier. Learn more about using the app.
Information
Table of contents
- Cover
- Title Page
- Copyright
- Contents
- Foreword
- About the Author
- Introduction
- Chapter 1 ALM of the Banking Book
- Chapter 2 Methods of Measurement and Management of the Interest Rate Risk and Liquidity Risk
- Chapter 3 Customer Behaviour and Its Impact on Interest Rate and Liquidity Risk
- Chapter 4 Formulation of the Optimisation Process and Articulation of the Decision Model
- CChapter 5 Practical Example of the Optimisation Process and Quantification of the Economic Impact under Base and Stress Scenarios
- Appendix 1 Details of the Analysis Performed for Bank 1
- Appendix 2 Details of the Analysis Performed for Bank 2
- Bibliography
- Index
- EULA