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.
Includes free CD-ROM that contains software on applications described
in the book, including a yield curve model, cubic spline spreadsheet
calculator and CDO waterfall model.
Moorad Choudhry is Head of Treasury at KBC
Financial Products UK Limited in London. He previously worked as a
government bond trader at ABN Amro Hoare Govett Limited and Hambros
Bank Limited, and in structured finance with JPMorgan Chase Bank.
Moorad is a Visiting Professor at the Department of Economics,
London Metropolitan University, and a Fellow of the Securities
Institute in the City of London. He is co-editor with Professor Frank
Fabozzi of The Handbook of European Fixed Income Securities.
