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Asset Liability Management Optimisation
A Practitioner's Guide to Balance Sheet Management and Remodelling
Series: Wiley Finance
Book Hero Magic crafted this summary to help describe this book. While it's new and still
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Summary
The book addresses key topics like Funds Transfer Pricing, interest rate risk in the banking book (IRRBB), Basel III regulations, maturity gap analysis, and customer behaviour impact on risks. Practical spreadsheet models and case studies support the methodologies described, making it essential for banking professionals aiming to enhance ALM outcomes within today’s complex regulatory and economic environment.
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Format: Hardback
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Asset Liability Management Optimisation
$17499
Unit price
/
Unavailable
Book Hero Magic created this recommendation. While it's new and still learning, it may not be perfect - your feedback is welcome! IS THIS YOUR NEXT READ?
This book is ideal for finance professionals, risk managers, and banking practitioners focused on asset liability management and balance sheet optimisation. It is most suitable for readers with a solid understanding of banking operations and regulatory frameworks seeking advanced, quantitative solutions to improve ALM performance.
Book Hero Magic formatted this description to make it easier to read. While it's new and
still learning, it may not be perfect - your
feedback is welcome!
Description
An advanced method for financial institutions to optimise Asset Liability Management for maximised return and minimised risk
Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimising their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximise profit. Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modelling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimisation method to help maximise asset return and minimise funding cost in the banking book.
ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimising ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM.
- A description of the Funds Transfer Pricing (FTP) process related to a bank’s target position
- Detailed examinations of interest rate risk in the banking book (IRRBB)
- Discussion of Basel III regulatory requirements and maturity gap analysis
- Overview of customer behaviour, along with its impact on interest rate and liquidity risk
- Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimisation model for minimisation of average funding cost for a bank and an example of behavioural model for Non-Maturing Deposits)
- Explorations of model risk, sensitivity analysis, and case studies
The optimisation techniques found in Asset Liability Management Optimisation can prove vital to financial professionals who are tasked with maximising asset return and reducing funding costs as a critical part of business objectives.
Series: Wiley Finance
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Book Details
INFORMATION
ISBN: 9781119635482
Publisher: John Wiley & Sons Inc
Format: Hardback
Date Published: 27 February 2020
Country: United States
Imprint: John Wiley & Sons Inc
Audience: Professional and scholarly
DIMENSIONS
Spine width: 25.0mm
Width: 170.0mm
Height: 246.0mm
Weight: 590g
Pages: 240
About the Author
BEATA LUBINSKA is a Founder of BL Advisory & Consulting, a boutique firm based in London. Previously, she has worked in senior positions in a number of financial services companies such as GE Capital, Deloitte, Standard Chartered Bank, and MeDirect Group in London, where her focus was mainly on Interest Rate Risk in the Banking Book (IRRBB), Market Risk, Balance Sheet Management, and Funds Transfer Pricing. She has over 16 years of practical experience developed in the Asset Liability management space gained both in Milan and London. Beata is also a faculty member at The Certificate of Bank Treasury Risk Management, where she teaches optimisation techniques in Asset Liability Management. She holds a PhD in Finance from Wroclaw University of Economics.
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