The Handbook of ALM in Banking (2nd edition)
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.
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.
|Publication date||12 Jan 2018|
|Size||155mm x 235mm|
Part 1: Introduction
1. Bank failures and their impact on today’s regulatory landscape: Andreas Bohn and Marije Elkenbracht-Huizing
2. ALM in the context of enterprise risk management: Koos Timmermans and Wessel Douma
3. Bank Capital and Liquidity: Marc Farag, Dan Nixon, and Damian Harland
Part 2: Interest Rate Risk
4. The new Basel standards on IRRBB and their implications on ALM: Roberto Virreira
5. Measuring and Managing Interest Rate Risk and Basis Risk: Giovanni Gentili and Nicola Santini
6. The Modelling of Non Maturing Deposits: George Solellis
7. Non Maturing Deposits with Stochastic Interest Rates and Credit Spreads: Andreas Bohn
8. Managing Interest Rate Risk for Non Maturing Deposits: Marije Elkenbracht-Huizing and Bert-Jan Nauta
9. Replication of non-maturing products in a low interest rate environment: Michael Schürle and Florentina Paraschiv
10. Managing Mortgage Prepayment Risk on the Balance sheet: Dick Boswinkel
11. ALM in low interest environment: Thomas Becker
12. Modelling Doubtful and bad loans/IFRS 9/Credit Spread Risk: Raquel Bujalance & Oliver Burnage
13. Hedge Accounting: Bernhard Wondrak
Part 3: Liquidity Risk
14. Supervisory views on liquidity regulation, supervision and management: Patrick de Neef
15: Measuring and Managing Liquidity and Funding Risk: Lennart Gerlagh and Marc Otto
16. Optimal Funding Tenors for Derivatives: Rene Reinbacher
17. Reverse Stress Testing: Michael Eichhorn and Philippe Mangold
18. Model Risk: George Solellis
19. Asset Encumbrance: Daniela Migliasso
Part 4: Balance Sheet and Capital Management
20.Stress Testing: Bernhard Kronfellner, Stephan Suess and Volker Vonhoff
21. Capital requirements, CoCos and TLAC: Ralf Leiber
22. XVA and the holistic management of financial resources: Massimo Baldi and Francesco Fede
23. Strategies for the Management of Reserve: Christian Buschmann
24. ALM within a Constrained Balance Sheet: Andreas Bohn, Paolo Tonucci
25. Instruments for Secured Funding: Federico Galizia, Giovanni Gentili
26. FTP in the New Normal: Pascal Vogt, Peter Neu and Robert Schäfer