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Asset Liability Management Optimisation - A Practitioner's Guide to Balance Sheet Management and Remodelling (Hardcover)
Loot Price: R2,132
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Asset Liability Management Optimisation - A Practitioner's Guide to Balance Sheet Management and Remodelling (Hardcover)
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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.
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