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The Handbook of ALM in Banking
1st edition
Discipline: Regulation, Derivatives & Options
No of pages: 440
First published:
ISBN: 9781782720119
In recent years, there has been increased focus on the universal banking model as well as new regulations focusing on asset and liability management (ALM) practices. In an environment of low interest rates and expansionary monetary policy, there is increased competition around loan and deposit businesses, as well as moves to integrate trading book assets and liabilities into the ALM framework. Consequently, ALM is at the top of banks’ agendas.
Edited by industry experts Andreas Bohn and Marije Elkenbracht-Huizing, The Handbook of ALM in Banking brings together key contributions from those implementing new ALM frameworks in light of these latest developments.
The book examines the intricacies of loans and deposits in the context of revisions to statutory deposit protection schemes. It also assesses the demands on banks liquidity reserves and collateral, as well as funding implications.
The increased regulatory focus on earnings at risk and on capital and balance sheet consumption is also under the spotlight, with the book clarifying issues on funds transfer pricing, capital management and balance sheet requirements.
The Handbook of ALM in Banking provides a full overview of methods and methodologies being applied in cutting-edge ALM management. This book is a must-read for ALM managers, risk managers, balance sheet managers, accountants, treasurers.
Contents
Introduction
New Regulatory Developments for Interest Rate Risk in the Banking Book
Bank Capital and Liquidity
ALM within a Constrained Balance Sheet
Measuring and Managing Interest Rate and Basis Risk
The Modelling of Non-Maturity Deposits
Modelling Non-Maturing Deposits with Stochastic Interest Rates and Credit Spreads
Managing Interest Rate Risk for Non-Maturity Deposits
Optimising Risk and Return of Non-Maturing Products by Dynamic Replication
Hedge Accounting
Bank Runs and Liquidity Management Tools
Strategies for the Management of Reserve Assets
Optimal Funding Tenors
Instruments for Secured Funding
Funds Transfer Pricing in the New Normal
Capital Instruments under Basel III
Understanding the Price of New Lending to Households