Download Bank Asset and Liability Management: Strategy, Trading, by Moorad Choudhry PDF

By Moorad Choudhry

Banks are an essential component of the worldwide economic system, and the essence of banking is asset-liability administration (ALM). This ebook is a entire remedy of a major monetary marketplace self-discipline. A reference textual content for all these serious about banking and the debt capital markets, it describes the innovations, items and paintings of ALM. topics lined contain financial institution capital, cash marketplace buying and selling, possibility administration, regulatory capital and yield curve analysis.

Highlights of the e-book comprise distinct insurance of:

  • liquidity, hole and investment threat management
  • hedging utilizing interest-rate derivatives and  credit derivatives
  • impact of Basel II
  • securitisation and stability sheet management
  • structured finance items together with asset-backed advertisement paper, mortgage-backed securities, collateralised debt tasks and based funding automobiles, and their function in ALM
  • treasury operations and crew move pricing.

Concepts and strategies are illustrated with case reports  and labored examples. Written in obtainable sort, this e-book is vital studying for marketplace practitioners, financial institution regulators and graduate scholars in banking and finance.

Includes loose CD-ROM that includes software program on purposes defined within the e-book, together with a yield curve version, cubic spline spreadsheet calculator and CDO waterfall version.

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Additional resources for Bank Asset and Liability Management: Strategy, Trading, Analysis

Example text

3 Components of a bank balance sheet Assets Liabilities Cash Short-term liabilities Loans Deposits Financial instruments (long) Financial instruments (short) Fixed assets Long-dated debt Off-balance sheet (receivables) EquityOff-balance sheet (liabilities) Profit & loss report The income statement for a bank is the p&l report and it records all the income, and losses, during a specified period of time. A bank income statement will show revenues that can be accounted for as either net interest income, fees and commissions, and trading income.

ALM is concerned with, among other things, the efficient management of banking capital. It therefore concerns itself with all banking operations, even if the day-to-day contact between the ALM desk (or Treasury desk) with other parts of the bank is remote. The ALM desk will be responsible for the treasury and money markets activities of the entire bank. 1. This is not to say that the ALM function does all these activities; rather, it is just to make clear that all the various activities represent assets and liabilities for the bank, and one central function is responsible for this side of these activities.

Corporate banking flourished after legislation in 1858 approved limited liability for stock-issuing banks. com) c. 3000 – c. 2000 BC Development of Banking in Mesopotamia c. 350 BC Many banking services offered in Ancient Greece 476 AD Roman Empire falls. Coins cease to be used as medium of exchange in Britain 1232 – 1253 Gold coins are issued by several Italian states 1401 Bank of Barcelona founded 1403 Charging interest on loans is ruled legal in Florence 1407 Bank of St George, Genoa, founded 1585 Bank of Genoa founded 1587 Banco di Rialto, Venice, founded 1600 The London East India Company is founded c.

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