{"product_id":"asset-liability-management-optimisation-9781119635482","title":"Asset Liability Management Optimisation","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eForeword ix\u003c\/p\u003e \u003cp\u003eAbout the Author xi\u003c\/p\u003e \u003cp\u003eIntroduction xiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 ALM of the Banking Book 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Role of Asset Liability Management in Commercial Banks 1\u003c\/p\u003e \u003cp\u003eOverview of Financial Risks Existing in the Banking Book 7\u003c\/p\u003e \u003cp\u003eRegulatory Requirements – Basel III 13\u003c\/p\u003e \u003cp\u003eCapital Requirements According to Basel III\/CRD IV 17\u003c\/p\u003e \u003cp\u003eSelective Review of the Literature Related to ALM and Integrated Management of the Interest Rate Risk and Liquidity Risk in Commercial Banks 19\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Methods of Measurement and Management of the Interest Rate Risk and Liquidity Risk 23\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInterest Rate Risk in the Banking Book – Measurement and Management 24\u003c\/p\u003e \u003cp\u003eExposure to Short-Term Interest Rate Risk – Maturity Gap Analysis 24\u003c\/p\u003e \u003cp\u003eMaturity Gap Analysis from the Economic Value Perspective 33\u003c\/p\u003e \u003cp\u003eLiquidity Risk in the Banking Book – Measurement and Management 41\u003c\/p\u003e \u003cp\u003eShort-Term Liquidity Management Principles 45\u003c\/p\u003e \u003cp\u003eMedium Long-Term Liquidity – The Principles of Structural Liquidity Management 46\u003c\/p\u003e \u003cp\u003eThe Role of Funds Transfer Pricing in Banks 50\u003c\/p\u003e \u003cp\u003ePricing of Different Products in the Banking Book 54\u003c\/p\u003e \u003cp\u003eBehaviouralisation Concept in FTP 57\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Customer Behaviour and Its Impact on Interest Rate and Liquidity Risk 61\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSignificance and Impact of Behavioural Issues in the Banking Book 61\u003c\/p\u003e \u003cp\u003eModelling of Customers’ Deposits – Liabilities Side 63\u003c\/p\u003e \u003cp\u003eBalance Sensitivity Modelling 68\u003c\/p\u003e \u003cp\u003eModelling of Loans with Early Redemption Optionality –Assets Side 70\u003c\/p\u003e \u003cp\u003eStatistical Prepayments 70\u003c\/p\u003e \u003cp\u003eFinancial Prepayments 71\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Formulation of the Optimisation Process and Articulation of the Decision Model 73\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Optimisation Method Applied to the Banking Book 74\u003c\/p\u003e \u003cp\u003eIntroduction of the Optimisation Concept 75\u003c\/p\u003e \u003cp\u003eDefinition of the Initial Banking Book Profile 79\u003c\/p\u003e \u003cp\u003eBuilding the Objective and Constraint Functions in the Optimisation Process 81\u003c\/p\u003e \u003cp\u003eThe Importance of Model Sensitivity Analysis 96\u003c\/p\u003e \u003cp\u003eDefinition of the Sensitivity Parameters for the Optimisation Model 98\u003c\/p\u003e \u003cp\u003e‘Significant Changes in Interest Rates’ Scenario 98\u003c\/p\u003e \u003cp\u003eChanges in the Initial Proportions of the Asset Base 100\u003c\/p\u003e \u003cp\u003eChanges in the Output of the Deposit Characterisation Model – Balance Volatility, Balance Sensitivity, and Average Life of the Product 100\u003c\/p\u003e \u003cp\u003eIntroduction of the CPR into the Model 100\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Practical Example of the Optimisation Process and Quantification of the Economic Impact under Base and Stress Scenarios 101\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCase Study: Economic Impact from the Optimisation Model under Baseline and Sensitivity Scenarios for Bank 1 102\u003c\/p\u003e \u003cp\u003eCase Study: Economic Impact from the Optimisation Model under Baseline and Sensitivity Scenarios for Bank 2 114\u003c\/p\u003e \u003cp\u003eConclusions 125\u003c\/p\u003e \u003cp\u003eAppendix 1 Details of the Analysis Performed for Bank 1 129\u003c\/p\u003e \u003cp\u003eAppendix 2 Details of the Analysis Performed for Bank 2 157\u003c\/p\u003e \u003cp\u003eBibliography 209\u003c\/p\u003e \u003cp\u003eIndex 213\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49407105401175,"sku":"9781119635482","price":69.35,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781119635482.jpg?v=1730498194","url":"https:\/\/bookcurl.com\/products\/asset-liability-management-optimisation-9781119635482","provider":"Book Curl","version":"1.0","type":"link"}