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Bank Asset and Liability Management: Strategy, Trading, Analysis

توضیحات

Again, Moorad Choudhry takes his readers beyond the older books in the market that simply list a string of facts, and into a world of highly practical and up-to-the-minute concepts and strategies.  Bank asset-liability management is about knowing when and how to use all the tools available…This book tackles the whole spectrum. —Peter Eisenhardt, Head of Short Term Fixed Income Origination, Debt Capital Markets, Bank of America, N.A.

“Like the author’s book The Bond and Money Markets:Strategy, Trading, Analysis, this is again a superb example how a financial book should be written.... The book comes highly recommended.” —Tibor Szigeti , Fixed Income Analytics, Bloomberg L.P., London

"An informative account of banking ALM from the point of view of the market practitioner.” —Shahid Ikram, Head of UK Sovereign bonds and G7 hedge fund, Morley Fund Management LT

“A highly readable text which serves as an essential primer for both market practitioners and academics alike to help understand the rapidly evolving risk management techniques used by Treasury and Money Market desks.” —Adam Sutton, Head of European Repo, Global Funding Desk, Bank of America, London

"Bank Asset and Liability Management offers a clear, insightful perspective of the global banking and liquidity markets…This book is a great reference tool for all finance professionals. Really, really impressive." —Bhavin Parmar, Securities Finance Trader, ABN Amro Bank N.V., London

“A brilliant and comprehensive account of all the various disciplines that make up the art of bank asset-liability management. A fantastic work! Every bank should have a copy of this book.” —Mohamoud Barre Dualeh, Private Banking Unit, Abu Dhabi Commercial Bank, UAE

“This latest publication is an essential read for anyone involved in the industry. Moorad delivers financial theories in a practical and entertaining package.” —Mark Williams (Director) and Wei Lieh Goh, Hedge Fund Derivatives, KBC Financial Products, London


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.
Foreword.

Preface.

About the Author.

PART I. BANKING BUSINESS, BANK CAPITAL AND DEBT MARKET INSTRUMENTS.

Chapter 1. Bank Business and Bank Capital.

Chapter 2. Financial Statements and Ratio Analysis.

Chapter 3. The Money Market.

Chapter 4. The Bond Instrument.

PART II. BANK TREASURY ASSET-LIABILITY MANAGEMENT.

Chapter 5. Asset-Liability Management I.

Chapter 6. Asset-Liability Management II.

Chapter 7. ALM Trading Principles.

Chapter 8. Asset-Liability Management III: The ALCO.

Chapter 9. The Yield Curve.

Chapter 10. The Determinants of the Swap Spread and Understanding the Term Premium.

Chapter 11. Introduction to Relative Spread Analysis.

PART III. FINANCIAL INSTRUMENTS, APPLICATIONS AND HEDGING.

Chapter 12. Repo Instruments.

Chapter 13. Money Market Derivatives.

Chapter 14. Interest-rate Swaps and Overnight-index Swaps.

Chapter 15. Hedging Using Bonds Futures Contracts.

Chapter 16. Credit Risk and Credit Derivatives.

Chapter 17. Value-at-Risk (VaR) and Credit VaR.

PART IV. FUNDING AND BALANCE SHEET MANAGEMENT USING SECURITISATION AND STRUCTURED CREDIT VEHICLES.

Chapter 18. Introduction to Securitisation.

Chapter 19. Structured, Synthetic and Repackaged Funding Vehicles.

Chapter 20. Mortgage-backed Securities and Covered Bonds.

Chapter 21. Asset-backed Securities.

Chapter 22. Collateralised Debt Obligations.

Chapter 23. Synthetic Collateralised Debt Obligations.

Chapter 24. Synthetic Mortgage-backed Securities.

Chapter 25. Structured Investment Vehicles.

PART V. BANK REGULATORY CAPITAL.

Chapter 26. Bank Regulatory Capital and the Basel Rules.

Chapter 27. A Primer on Base II.

PART VI. TREASURY MIDDLE OFFICE OPERATIONS.

Chapter 28. Funding and Treasury Procedures for Banking Corporations.

PART VII. APPLICATIONS SOFTWARE ENCLOSED WITH THE BOOK.

Chapter 29. Applications Software and Spreadsheet Models.

Appendix. Financial Market Arithmetic.

Glossary.

Index.