Book

Bank Asset and Liability Management: Strategy, Trading, Analysis - Choudhry

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: 1) liquidity, gap and funding risk management; 2) hedging using interest-rate derivatives and credit derivatives; 3) impact of Basel II; 4) securitisation and balance sheet management; 5) structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralized debt obligations and structured investment vehicles, and their role in ALM; 6) 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.


  • Level: Basic+
  • Major Topics: T15, T16
  • Minor Topics: T12, T13, T35, T41, T42, T43, T44

Resources

Book Resources

CD-ROM containing software on applications described in the book

Table of Contents

Part I. Banking Business, Bank Capital and Debt Market Instruments
1. Bank Business and Bank Capital
2. Financial Statements and Ratio Analysis
3. The Money Market
4. The Bond Instrument

Part II. Bank Treasury Asset-Liability Management
5. Asset-Liability Management I
6. Asset-Liability Management II
7. ALM Trading Principles
8. Asset-Liability Management III: The ALCO
9. The Yield Curve
10. The Determinants of the Swap Spread and Understanding the Term Premium
11. Introduction to Relative Spread Analysis

Part III. Financial Instruments, Applications and Hedging
12. Repo Instruments
13. Money Market Derivatives
14. Interest-rate Swaps and Overnight-index Swaps
15. Hedging Using Bonds Futures Contracts
16. Credit Risk and Credit Derivatives
17. Value-at-Risk (VaR) and Credit VaR

Part IV. Funding and Balance Sheet Management Using Securitisation and Structured Credit Vehicles
18. Introduction to Securitisation
19. Structured, Synthetic and Repackaged Funding Vehicles
20. Mortgage-backed Securities and Covered Bonds
21. Asset-backed Securities
22. Collateralised Debt Obligations
23. Synthetic Collateralised Debt Obligations
24. Synthetic Mortgage-backed Securities
25. Structured Investment Vehicles

Part V. Bank Regulatory Capital
26. Bank Regulatory Capital and the Basel Rules
27. A Primer on Base II

Part VI. Treasury Middle Office Operations
28. Funding and Treasury Procedures for Banking Corporations

Part VII. Applications Software Enclosed with the Book
29. Applications Software and Spreadsheet Models…read more