Handbook of asset and liability management : from models to optimal return strategies / Alexandre Adam.

Format:

Book

Author/Creator:

Adam, Alexandre.

Series:

Wiley finance series.

Wiley finance

Language:

English

Subjects (All):

Asset-liability management.

Physical Description:

1 online resource (572 p.)

Edition:

1st edition

Place of Publication:

Chichester, England ; Hoboken, NJ : John Wiley & Sons, 2007.

Language Note:

English

System Details:

text file

Summary:

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 un

Contents:

Handbook of Asset and Liability Management; Contents; Preface; Acknowledgments; About the author; PART I INTRODUCTION; 1 The History of ALM; 1.1 The history of the banking industry from antiquity to the Middle Ages; 1.2 The modern banking industry and the history of ALM; 1.3 The history of the insurance industry and ALM; 1.4 The history of other businesses and ALM; 2 What is Asset and Liability Management Today?; 2.1 ALM and the banking industry; 2.2 Other general ALM questions; PART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING; 3 Balance Sheet Presentation

3.1 General balance sheet presentation3.2 A/L manager's balance sheet presentation; 3.3 Banking Book and Insurance Book; 3.4 Income statement and statement of cash flows; 4 "Accrued Accounting" for Interest Rate Instruments Versus "Marked-to-Market" Accounting; 4.1 General principles; 4.2 Accrued accounting examples; 5 IFRS and IAS Accounting; 5.1 IFRS, international organizations and rule presentation; 5.2 IAS 39; 5.3 Financial disclosures; 5.4 IFRS and insurance; 5.5 Other IFRS specificities; 5.6 Impact of IFRS on ALM and criticism of IFRS

6 "Economic Accounting": Fair Value and Full Fair Value 7 Internal Transfer Pricing or Fund Transfer Pricing (FTP); 7.1 Principles; 7.2 Advanced transfer pricings including credit risk and expected return on economic capital; 7.3 The inclusion of implicit options inclusion in the "contract by contract" FTP rules and commercial department arbitrage opportunity; 7.4 FTP rules based on the "stock" and based on the "flows"; 7.5 Examples of FTP rules; 7.6 Perequations; 8 ALM as a Profit Centre; 8.1 One profit centre for one financial risk; 9 Optimal Organization of an ALM Team

9.1 The usual ALM organization 9.2 The objectives of ALM; 9.3 ALCO: the ALM committee; 9.4 The different ALM teams; PART III BALANCE SHEET ITEMS AND PRODUCTS MODELLING; 10 Behavioural Modelling Principles; 10.1 The constitution of databases; 10.2 Event driven modelling; 10.3 Modelling the strategy of the company; 10.4 Expert advice; 10.5 Model backtesting; 11 Deposits and Savings; 11.1 Deposits, monetary aggregates, money supply and macroeconomics; 11.2 Demand deposit accounts; 11.3 Saving accounts: regulated and non-regulated savings versus super-savings

11.4 Demand deposits models in the literature 11.5 Deposit modelling: the solution through an approach based on customer behaviour modelling; 11.6 Deposit modelling through a customer behaviour modelling based approach: representation in risk indicators and FTP; 12 Loans; 12.1 Different types of loan; 12.2 Different definitions and formulae; 13 Prepayments; 13.1 The origins of the prepayment phenomenon; 13.2 The constitution of the database for prepayment modelling; 13.3 Different models: historical database-based approaches and MBS-based approaches; 13.4 Prepayment scoring

13.5 Prepayment monitoring

Notes:

Description based upon print version of record.

Includes bibliographical references (p. [533]-539) and index.

ISBN:

9786612342875

9781119209133

1119209137

9781282342873

1282342878

9780470724118

0470724110

OCLC:

609849269