Asset & Liability Management: A Guide to Value Creation and Risk Control

Description

As institutional shareholders increase pressure on value creation and as central banks around the world are forcing banks to improve their ALM capabilities, the time has come for every banker to master the tools of asset and liability management and the control of value creation and risk. Written for a general business audience, Asset and Liability Management is a complete toolbox for those wishing to get to grips with the subject.

Sample Content

Table of Contents

Banking services and balance sheet
Value creation for shareholders
ROE breakdown
Profit centre management
Profit allocation and transfer pricing for deposits and loans
The capital adequacy regulation
Loan pricing (1): the 'equity' spread
Loan pricing (2): credit risk and credit provisions
Securitization
Value creation: a summary
The control of interest rate risk (1): the repricing gaps
The control of interest rate risk (2): the simulation model
Forwards and financial futures
The control of interest rate risk (3): the value of equity at risk
The control of liquidity risk
Options
Asset and liability management: an art, not a science

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