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.
- Book - 9781782720119 / eBook - 9781782721611
- Publish date
- 24 Feb 2014
- 155mm x 235mm
Table of contents
Andreas Bohn (Barclays) and Marije Elkenbracht-Huizing (ABN AMRO)
Part I: Regulations and their impact on ALM
1. New regulatory developments for interest rate risk in the banking book
2. Bank capital and liquidity
Marc Farag, Dan Nixon (Bank of England) and Damian Harland (Barclays)
3. Liquidity risk management as a determinant for asset and liability management
Paolo Tonucci and Andreas Bohn (Barclays)
Part II: Management of interest rate risk
4. Measuring and managing interest rate and basis risk
Giovanni Gentili and Nicola Santini (European Investment Bank)
5. The modelling of non-maturity deposits
George Soulellis (Barclays)
6. Modelling non-maturing deposits with stochastic interest rates and credit spreads
Andreas Bohn (Barclays)
7. Risk management of non-maturity deposits
Marije Elkenbracht-Huizing (ABN AMRO) and Bert-Jan Nauta (Double Effect)
8. Optimising risk and return of non-maturing products by dynamic replication
Michael Schürle and Florentina Paraschiv (University of St. Gallen)
9. Hedge accounting
Bernhard Wondrak (TriSolutions)
Part III: Management of funding risk
10. The risk of a bank run: liquidity stress testing from regulatory aspects
Matthias Bergner, Patrick Marcus and Maria Adler (Deutsche Bank)
11. Strategies for the management of reserve assets
Andreas Hauschild and Christian Buschmann (Commerzbank AG)
12. Optimal funding tenors
Rene Reinbacher (Barclays)
13. Management and transfer pricing of collateral
Federico Galizia (European Investment Fund) and Giovanni Gentili (European Investment Bank)
Part IV: Balance sheet management
14. Funds transfer pricing in the new normal
Peter Neu (DZ Bank), Pascal Vogt and Michael Widowitz (Boston Consulting Group)
15. Capital instruments under Basel III
Volker Bätz (Credit Suisse)
16. Understanding the price of lending to households
Richard Button, Silvia Pezzini and Neil Rossiter (Bank of England)
The strength of this volume is that it practioners contributed issues from their day-to-day work along with its solutions.
This book should be on every treasurer's desk.