The Handbook of ALM in Banking provides a complete overview on good practices for asset and liability management in banking.

New regulations, which require a more consistent treatment of banking books and trading books as well as more aligned business strategies, call for the integrated management of assets and liabilities in banks.  At the same time, stronger separation of retail banking activities from investment banking is being proposed. Consequently, there is greater focus on efficient allocation of financial resources and respective risk management. Asset and liability management and transfer pricing play a pivotal role in this context. 

This book provides a comprehensive overview of state-of-the-art asset and liability modelling, risk management techniques and transfer pricing. The book considers the aspects key to these issues: liquidity, funding, interest rates and balance sheet management.

Read The Handbook of ALM in Banking's introduction for free here.

Editor Patricia Jackson of EY is the Head of Financial Regulatory Advice for Europe, the Middle East, India and Africa. With over 25 years of experience in the banking and regulation sectors, as well as with the Bank of England, Patricia is uniquely qualified to lead this project on the subject of risk culture and governance.

Click here to hear Patricia's answers to some key questions on risk culture.

After the financial crisis, banks and insurance companies were forced to get to grips with the ecosystem that had led to huge, and endemic, losses. Attention on this issue has intensified due to the exposure of high-profile conduct issues such as the LIBOR scandal. Developing and instilling an effective and measurable risk culture has emerged as a key issue for senior management and the board. Boards and regulators must focus on how firms can assess risk culture and achieve the desired philosophy throughout an international organisation.

“The editor, Patricia Jackson, who has wide experience in the risk management field, has brought together an impressive array of authors to look at the nexus of factors which influence risk culture and at ways that an organisation can go about strengthening culture.”
Sir David Walker

In the current financial environment in which institutional investors are failing to achieve their goal of superior returns or beating the market, investors are rethinking asset allocation as a whole.

The potential role for currency in institutional portfolios has been much discussed, yet overlooked. Finally this market segment is coming to the foreground of the investment landscape. Editors and experts in the area of currency research, Momtchil Pojarliev (Fischer Francis Trees & Watts) and Richard Levich (New York University Stern School of Business), present contributions from authorities in the FX sphere of the investment world as well as the more traditional sectors, providing a balanced perspective to institutional portfolios.

Building on the solid foundation of the previous bestselling editions, this significantly extended fifth edition of Portfolio Construction and Risk Budgeting updates content and incorporates a more practical approach than previous editions.

Bernd Scherer provides a critical review of a range of portfolio management techniques highlighting strengths, weaknesses and how to implement quantitatively-driven portfolio construction.

Get the introduction as a PDF here

Despite enormous growth in alternative investment, performance measurement practices in this area are rough around the edges.  Performance analysts tasked with measuring and reporting the returns of alternative assets face issues regarding which return method to use, leverage that creates negative denominators in the return calculation, a host of valuation concerns, and challenges associated with benchmarking these unique strategies.

Performance Measurement for Alternative Investments is the first of its kind to explain how to overcome these major hurdles, and seeks to help unite two worlds that heretofore have been kept fairly well apart:  that of the performance analyst seeking to communicate results to stakeholders, and that of the portfolio manager responsible for investment decision making.

Take a look at the introduction here

Author Timothy Peterson, a Partner at Ashland Partners with executive responsibility for over 100 client relationships, including the firm's largest “household name” clients, is an investment performance measurement expert who specialises in alternative assets.

In the aftermath of the global financial crisis of 2007-09, global macro was one of the few investment strategies that delivered positive returns. Since then global markets have been driven almost solely by macroeconomic decision making; more so than at any time in recent years.

Global Macro: Theory and Practice, edited by industry expert Andrew Rozanov, is the first comprehensive handbook and authoritative guide focusing exclusively on global macro strategies, designed for use by investment professionals involved in constructing and managing institutional portfolios.

"Global Macro: Theory and Practice is an important primer for institutions seeking to understand macro from two sides of the looking glass: the view of practitioners like myself and the view of investors. The broad range of topics covered – discretionary versus systematic approaches, the role of risk management in macro, the role of policy analysis and prediction in macro, among others — will draw institutional investors into the stimulating world I have lived and breathed for three decades."
– PAUL TUDOR JONES II, Co-Chairman and Chief Investment Officer, Tudor Investment Corporation

A practical guide for all insurance risk professionals, the book includes details of the latest practices in insurance-linked investment, developed since the publication of the first edition. Covering topics such as side pockets, industry loss warranties, fronting, side cars and portfolio optimisation, Alternative (Re)insurance Strategies: Second Edition encapsulates the growth and innovations in this ever popular market.

This is the survival guide for trading in a world where high-frequency trading predominates in markets, accounting for upwards of 60% of trading in equities and futures, and 40% in foreign exchange. High-frequency trading is the subject of extensive debate, particularly as to whether it is beneficial for traders and markets or instead allows some traders to benefit at others expense. This book provides you with an important overview and perspective on this area, with a particular focus on how low-frequency traders and asset managers can survive in the high frequency world.

“The concept of high-frequency trading too often evinces irrational fears and opposition.  This book, by experts in the field, unveils the mysteries, records the facts and sets out the real pros and cons of such mechanisms.”

Charles Goodhart, Fellow of the British Academy, and Emeritus Professor at the London School of Economics.

Following the global financial crisis, the Comprehensive Capital Analysis Review – CCAR – has emerged in the US as the most dominant regulatory regime to face banks in recent years: banks must be able to prove to regulators that they have sufficient capital to weather a severe economic downturn.

CCAR and Beyond is the first authoritative reference guide to CCAR, providing a complete introduction and analysis of the regulation from origins to implementation. Read the introduction to this handbook here.

With extensive experience advising CCAR banks on modelling issues, Jing Zhang brings together a cross-section of views from those directly involved in the regulation and implementation of these assessments and stress tests. CCAR and Beyond clarifies the various methodologies and techniques to approaching CCAR assessments, providing unique insight into this seminal regulation.

Tail Risk Hedging is essential reading for investors who want to improve their understanding of this investment strategy and its role and place in institutional portfolios in order to choose successful asset allocation, portfolio construction and hedging strategies.

"The definitive source for any investor considering tail hedging. The expertise of writers (and editors!) shines through in every chapter. By showcasing the institutional users' frameworks to assess the role of tail hedging in their portfolios as well as a range of diverse solutions offered by major tail hedge providers, the book gives a comprehensive picture of the menu of possibilities, with pros and cons on each."

Antti Ilmanen, Principal at‎ AQR Capital Management.

Editor Patricia Jackson of EY is the Head of Financial Regulatory Advice for Europe, the Middle East, India and Africa. With over 25 years of experience in the banking and regulation sectors, as well as with the Bank of England, Patricia is uniquely qualified to lead this project on the subject of risk culture and governance.

Click here to hear Patricia's answers to some key questions on risk culture.

After the financial crisis, banks and insurance companies were forced to get to grips with the ecosystem that had led to huge, and endemic, losses. Attention on this issue has intensified due to the exposure of high-profile conduct issues such as the LIBOR scandal. Developing and instilling an effective and measurable risk culture has emerged as a key issue for senior management and the board. Boards and regulators must focus on how firms can assess risk culture and achieve the desired philosophy throughout an international organisation.

“The editor, Patricia Jackson, who has wide experience in the risk management field, has brought together an impressive array of authors to look at the nexus of factors which influence risk culture and at ways that an organisation can go about strengthening culture.”
Sir David Walker