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Handbook Of Asset And Liability Management

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Handbook of Asset and Liability Management

Handbook of Asset and Liability Management Book
Author : Stavros A. Zenios,William T. Ziemba
Publisher : Elsevier
Release : 2007-08-08
ISBN : 9780080548562
Language : En, Es, Fr & De

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Book Description :

The Handbooks in Finance are intended to be a definitive source for comprehensive and accessible information in the field of finance. Each individual volume in the series presents an accurate self-contained survey of a sub-field of finance, suitable for use by finance and economics professors and lecturers, professional researchers, graduate students and as a teaching supplement. It is fitting that the series Handbooks in Finance devotes a handbook to Asset and Liability Management. Volume 2 focuses on applications and case studies in asset and liability management. The growth in knowledge about practical asset and liability modeling has followed the popularity of these models in diverse business settings. This volume portrays ALM in practice, in contrast to Volume 1, which addresses the theories and methodologies behind these models. In original articles practitioners and scholars describe and analyze models used in banking, insurance, money management, individual investor financial planning, pension funds, and social security. They put the traditional purpose of ALM, to control interest rate and liquidity risks, into rich and broad-minded frameworks. Readers interested in other business settings will find their discussions of financial institutions both instructive and revealing. * Focuses on pragmatic applications * Relevant to a variety of risk-management industries * Analyzes models used in most financial sectors

Handbook of Asset and Liability Management

Handbook of Asset and Liability Management Book
Author : Alexandre Adam
Publisher : John Wiley & Sons
Release : 2008-03-11
ISBN : 9780470724118
Language : En, Es, Fr & De

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Book Description :

In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.

The Handbook of Asset Liability Management State of Art Investment Strategies Risk Controls and Regulatory Required

The Handbook of Asset Liability Management  State of Art Investment Strategies  Risk Controls and Regulatory Required Book
Author : Frank Fabozzi,Atuso Konishi
Publisher : McGraw-Hill
Release : 1995-10-01
ISBN : 9781557388001
Language : En, Es, Fr & De

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Book Description :

Completely revised and updated, the Handbook of Assetiability Management helps you keep your protfolio in line and market risk under control. This reference includes; The benefits from risk management; Asset securitization; Measuring interest rate and yield curve risk; Using OAS to implement value at risk balance sheet management; Hedging with derivatives; Implementing controls for managing derivative positions.

Handbook of Asset and Liability Management

Handbook of Asset and Liability Management Book
Author : Stavros A. Zenios,William T. Ziemba
Publisher : North Holland
Release : 2006-09-11
ISBN : 9780444508751
Language : En, Es, Fr & De

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Book Description :

This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well. *Each volume presents an accurate survey of a sub-field of finance *Fills a substantial gap in this field *Broad in scope

Asset and Liability Management Handbook

Asset and Liability Management Handbook Book
Author : G. Mitra,K. Schwaiger
Publisher : Springer
Release : 2011-03-29
ISBN : 023030723X
Language : En, Es, Fr & De

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Book Description :

Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new regulations and the industries risks.

Asset and Liability Management Tools

Asset and Liability Management Tools Book
Author : Bernd Scherer
Publisher :
Release : 2003
ISBN : 9781904339069
Language : En, Es, Fr & De

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Book Description :

A new multi-author volume that provides a complete and non-technical presentation on all the very latest asset and liability management issues and techniques required to stay ahead of the curve in today's volatile climate.

Asset Liability Management Gesamtbanksteuerung

Asset Liability Management   Gesamtbanksteuerung Book
Author : Hannes Enthofer,Patrick Haas
Publisher : Linde Verlag GmbH
Release : 2016-01-12
ISBN : 3709407222
Language : En, Es, Fr & De

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Book Description :

Alle ALM-Aktivitäten in einem Band Dieses neue Standardwerk zeigt die praktische Umsetzung des Asset Liability Managements/der Gesamtbanksteuerung unter den neuen gesetzlichen Rahmenbedingungen von Basel III und den aktuellen EU-Richtlinien. Themen sind u.a. die Bankbuchsteuerung im Rahmen des ICAAP, Eigenkapital und Risiko-/Ertragssteuerung in der Gesamtbank und der Einsatz von Finanzinstrumenten im ALM und Hedging von Risikopositionen bis hin zu Corporate Governance & Compliance auf Gesamtbankebene zur Erfüllung der regulatorischen Anforderungen.

Handbook of ALM in Banking

Handbook of ALM in Banking Book
Author : Andreas Bohn,Marije Elkenbracht-Huizing
Publisher :
Release : 2014
ISBN : 9781782720119
Language : En, Es, Fr & De

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Book Description :

In recent years, there has been increased focus on the universal banking model as well as new regulations focusing on asset and liability management (ALM) practices. In an environment of low interest rates and expansionary monetary policy, there is increased competition around loan and deposit businesses, as well as moves to integrate trading book assets and liabilities into the ALM framework. Consequently, ALM is at the top of banks agendas. Edited by industry experts Andreas Bohn and Marije Elkenbracht-Huizing, The Handbook of ALM in Banking brings together key contributions from those implementing new ALM frameworks in light of these latest developments. The book examines the intricacies of loans and deposits in the context of revisions to statutory deposit protection schemes. It also assesses the demands on banks liquidity reserves and collateral, as well as funding implications. The increased regulatory focus on earnings at risk and on capital and balance sheet consumption is also under the spotlight, with the book clarifying issues on funds transfer pricing, capital management and balance sheet requirements. The Handbook of ALM in Banking provides a full overview of methods and methodologies being applied in cutting-edge ALM management. This book is a must-read for ALM managers, risk managers, balance sheet managers, accountants, treasurers.

Bank Asset and Liability Management

Bank Asset and Liability Management Book
Author : Moorad Choudhry
Publisher : John Wiley & Sons
Release : 2011-12-27
ISBN : 1118177215
Language : En, Es, Fr & De

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Book Description :

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.

Stochastic Optimization Methods in Finance and Energy

Stochastic Optimization Methods in Finance and Energy Book
Author : Marida Bertocchi,Giorgio Consigli,Michael A. H. Dempster
Publisher : Springer Science & Business Media
Release : 2011-09-15
ISBN : 9781441995865
Language : En, Es, Fr & De

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Book Description :

This volume presents a collection of contributions dedicated to applied problems in the financial and energy sectors that have been formulated and solved in a stochastic optimization framework. The invited authors represent a group of scientists and practitioners, who cooperated in recent years to facilitate the growing penetration of stochastic programming techniques in real-world applications, inducing a significant advance over a large spectrum of complex decision problems. After the recent widespread liberalization of the energy sector in Europe and the unprecedented growth of energy prices in international commodity markets, we have witnessed a significant convergence of strategic decision problems in the energy and financial sectors. This has often resulted in common open issues and has induced a remarkable effort by the industrial and scientific communities to facilitate the adoption of advanced analytical and decision tools. The main concerns of the financial community over the last decade have suddenly penetrated the energy sector inducing a remarkable scientific and practical effort to address previously unforeseeable management problems. Stochastic Optimization Methods in Finance and Energy: New Financial Products and Energy Markets Strategies aims to include in a unified framework for the first time an extensive set of contributions related to real-world applied problems in finance and energy, leading to a common methodological approach and in many cases having similar underlying economic and financial implications. Part 1 of the book presents 6 chapters related to financial applications; Part 2 presents 7 chapters on energy applications; and Part 3 presents 5 chapters devoted to specific theoretical and computational issues.

The Oxford Handbook of Pensions and Retirement Income

The Oxford Handbook of Pensions and Retirement Income Book
Author : Gordon L. Clark,Alicia H. Munnell,Kate Williams,J. Michael Orszag
Publisher : Oxford University Press on Demand
Release : 2006-07-20
ISBN : 9780199272464
Language : En, Es, Fr & De

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Book Description :

This handbook draws on research from a range of academic disciplines to reflect on the implications for provisions of pension and retirement income of demographic ageing. it reviews the latest research, policy related tools, analytical methods and techniques and major theoretical frameworks.

The Handbook of International Financial Terms

The Handbook of International Financial Terms Book
Author : Peter Moles,Nicholas Terry
Publisher : OUP Oxford
Release : 1997-03-06
ISBN : 0191591181
Language : En, Es, Fr & De

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Book Description :

This Handbook aims to be the most comprehensive and up to date reference book available to those who are involved or could be involved in the world of finance. The financial world has a capacity for ingenious innovation and this extends to the often bewildering array and use of terms. Here you can find out what a Circus, a Firewall, an Amazon Bond, a Clean Float, a Cocktail Swap, a Butterfly, a Streaker, a Straddle and a Strangle are. As well as defining terms, the book also shows how they are used differently in different markets and countries. It also has numerous examples showing clearly the use of particular calculations and instruments; and provides details of major markets, acronyms and currencies. Reflecting the development of global financial markets this Handbook will have broad appeal around the world. It will be a reliable guide for practitioners, and those in the related professions of accounting, law and management. At the same time it will be an invaluable companion for advanced students of finance, accounting and business.

Asset Liability Management Optimisation

Asset Liability Management Optimisation Book
Author : Beata Lubinska
Publisher : John Wiley & Sons
Release : 2020-04-28
ISBN : 1119635489
Language : En, Es, Fr & De

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Book Description :

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.

The Oxford Handbook of Quantitative Asset Management

The Oxford Handbook of Quantitative Asset Management Book
Author : Bernd Scherer
Publisher : Oxford University Press
Release : 2012
ISBN : 0199553432
Language : En, Es, Fr & De

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Book Description :

This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.