Currency
The Handbook of ALM in Banking (2nd edition)
£145.00
This new edition of The Handbook of ALM in Banking: Managing New Challenges for Interest Rates, Liquidity and the Balance Sheet provides a complete overview on good practices for asset and liability management in banking.
Since the previous edition, considerable changes have taken place in the regulatory ALM space. Both for liquidity risk as well as for interest rate risk in the banking book, regulatory demands have substantially increased concerning governance, stress testing, risk appetite framework, behavioural modelling, and organisational questions. At this point in time banks are working to implement these new regulations.
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 new and updated edition expands on the previous version to take in an overview of these new regulations and their implications for the ALM area. The two most important developments in the ALM space since the last edition are arguably IRRBB and negative interest rates - both of which are covered here. The low-interest environment also imposes additional challenges on banking book management.
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ISBN
9781782723455
The Handbook of ALM in Banking (2nd edition) 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. Thirteen new chapters have been added, with all others overhauled and revised.
Edited by industry experts Andreas Bohn and Marije Elkenbracht-Huizing, this new edition of The Handbook of ALM in Banking brings together key contributions from those implementing new ALM frameworks in light of the latest developments.
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.
| ISBN | 9781782723455 |
|---|---|
| Navision code | MAL2 |
| Publication date | 12 Jan 2018 |
| Size | 155mm x 235mm |
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Andreas Bohn and Marije Elkenbracht-Huizing
Andreas Bohn
Andreas Bohn is Associate Director for Risk Management at The Boston Consulting Group (BCG). Previous to his position at BCG, he was managing director for balance sheet strategy at Barclays Treasury. Before joining Barclays, he ran asset and liability management for global transaction banking at Deutsche Bank. Previously, Andreas worked as a market risk manager for interest rates as well as a market maker for interest rate derivatives at Deutsche Bank, where he started his career in quantitative research. Andreas has spoken on asset liability modelling as well as on the impact of regulations on balance sheet management at conferences in Europe and the US and is the author of related publications. He is a graduate of the University of Münster and holds a PhD from the University of Augsburg.
Marije Elkenbracht-Huizing
Marije Elkenbracht-Huizing is director of Market and asset and liability management/treasury risk at ABN AMRO Bank. In this role she is responsible for risk management of the treasury and trading portfolios. Before this, she was managing director ofALM and market risk at NIBC. Previously she performed a leading role at ABN AMRO in the areas of derivative valuation and risk management models, economic capital for market risk and interest rate risk for the banking book, ALM modelling and strategy. She has published and spoken at various international conferences on the topics of ALM modelling and economic capital. She has been a member of the Platform Mathematics Netherlands, which aims to stimulate the contribution of mathematics to innovation. Marije earned master’s and PhD degrees in mathematics from Leiden University.
PART I INTRODUCTION
1 Bank Capital and Liquidity
Marc Farag, Damian Harland, Dan Nixon
2 ALM in the Context of Enterprise Risk Management
Koos Timmermans and Wessel Douma
ING Group
PART II INTEREST RATE RISK
3 The New Basel Standards on IRRBB and Their Implications for ALM
Roberto Virreira Zijderveld
Standard Chartered Group
4 Measuring and Managing Interest Rate and Basis Risk
Giovanni Gentili, Nicola Santini
European Investment Bank
5 The Modelling of Non-Maturity Deposits
George Soulellis
Federal Home Loan Mortgage Corporation
6 Modelling Non-Maturing Deposits with Stochastic Interest Rates and Credit Spreads
Andreas Bohn
The Boston Consulting Group
7 Managing Interest Rate Risk for Non-Maturity Deposits
Marije Elkenbracht-Huizing; Bert-Jan Nauta
ABN AMRO; De Nederlandsche Bank
8 Replication of Non-Maturing Products in a Low Interest Rate Environment
Florentina Paraschiv; Michael Schürle
NTNU Business School; University of St Gallen
9 Managing Mortgage Prepayment Risk on the Balance Sheet
Dick Boswinkel
Wells Fargo
10 Considerations for ALM in Low and Negative Interest Rate Environments
Thomas Becker, Raphael Bulut, Steve Uschmann
Deutsche Bank
11 Credit Spreads
Raquel Bujalance, Oliver Burnage
Santander
12 Hedge Accounting
Bernhard Wondrak
TriSolutions GmbH
PART III LIQUIDITY RISK
13 Supervisory Views on Liquidity Regulation, Supervision and Management
Patrick de Neef
De Nederlandsche Bank
14 Measuring and Managing Liquidity and Funding Risk
Lennart Gerlagh, Marc Otto
ABN AMRO
15 Managing Reserve Assets
Christian Buschmann
Commerzbank AG
16 Instruments for Secured Funding
Federico Galizia; Giovanni Gentili
Inter-American Development Bank; European Investment Bank
17 Asset Encumbrance
Daniela Migliasso
Intesa Sanpaolo
PART IV BALANCE-SHEET AND CAPITAL MANAGEMENT
18 Capital Management
Ralf Leiber
Deutsche Bank
19 A Global Perspective on Stress Testing
Bernhard Kronfellner, Stephan Süß, Volker Vonhoff
The Boston Consulting Group
20 Reverse Stress Testing: Linking Risks, Earnings, Capital and Liquidity – A Process-Orientated Framework and Its Application to Asset–Liability Management
Michael Eichhorn; Philippe Mangold
Harz University of Applied Sciences; University of Basel
21 XVAs and the Holistic Management of Financial Resources
Massimo Baldi, Francesco Fede, Andrea Prampolini
Banca IMI
22 Optimal Funding Tenors
Rene Reinbacher
Barclays
23 Funds Transfer Pricing in the New Normal
Robert Schäfer, Pascal Vogt; Peter Neu
The Boston Consulting Group; DZ Bank
24 Balance-Sheet Management with Regulatory Constraints
Andreas Bohn; Paolo Tonucci
The Boston Consulting Group; Commonwealth Bank of Australia