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ASSET AND LIABILITY MANAGEMENTDERMINE J., BISSADA Y.wydawnictwo: FT/PH , rok wydania 2002, wydanie Icena netto: Assets Liability MANAGEMENT' A guide to value creation and risk control As deregulation and competition are reducing margins around the world, the need for knowledge on Asset & Liability Management the control of a bank's profit and risks -becomes an absolute necessity for any banker in charge of a profit centre, central bankers in charge of bank supervision, and banks' auditors, consultants, or lawyers. This is the first book on Asset & Liability Management that emphasises both risk control and value creation. It is written for non-specialist bankers in a concise and accessible style by a world authority on ALM who has more than 20 years executive-education experience with international bankers. Although ALM appears complex, there are in fact few key concepts to master and assuming no previous knowledge of the subject, this book guides you through the basics of Asset & Liability Management to more advanced issues. Packaged with the book is a step-by-step tutorial CD-ROM that focuses on visuals, and exercises with built-in solutions. This can be used as a stand-alone self-learning device or as a tool to test and reinforce the concepts learnt after reading the book. CONTENTS Acknowledgments 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 Appendix A: Software Appendix B: Answers to exercises Appendix C: Glossary Appendix D: References 159 +CD
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