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Handbook of asset and liability management : from models to optimal return strategies /
In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathe...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Chichester, England ; Hoboken, NJ :
John Wiley & Sons,
2007.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- PrefaceForewordAcknowledgmentsAbout the authorPART I INTRODUCTION1 The history of ALM1.1 The history of the banking industry from antiquity to the Middle Ages1.2 The modern banking industry and the history of ALM1.3 The history of the insurance industry and ALM1.4 The history of other businesses and ALM2 What is asset and liability management today?2.1 ALM and the banking industry2.2 Other general ALM questionsPART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING3 Balance sheet presentation3.1 General balance sheet presentation3.2 A/L manager's balance sheet presentation3.3 Banking Book and Insurance Book3.4 Income statement and statement of cash flows4 'Accrued accounting" for interest rate instruments versus "marked-to-market" accounting4.1 General principles4.2 Accrued accounting examples5 IFRS and IAS accounting5.1 IFRS, international organizations and rule presentation5.2 IAS 395.3 Financial disclosures5.4 IFRS and insurance5.5 Other IFRS specificities5.6 Impact of IFRS on ALM and criticism of IFRS6 "Economic accounting": fair value and full fair value7 Internal transfer pricing or fund transfer pricing (FTP)7.1 Principles7.2 Advanced transfer pricings including credit risk and expected return on economic capital7.3 The inclusion of implicit options in the contract by FTP contract rules and commercial department arbitrage opportunity7.4 FTP rules based on the "stock" and based on the "flows"7.5 Examples of FTP rules7.6 Perequations8 ALM as a profit centre8.1 One profit centre for one financial risk9 Optimal organization of an ALM team9.1 The usual ALM organization9.2 The objectives of ALM9.3 ALCO: the ALM committee9.4 The different ALM teamsPART III BALANCE SHEET ITEMS AND PRODUCTS MODELLING10 Behavioural modelling principles10.1 The constitution of databases10.2 Event driven modelling10.3 Modelling the strategy of the company10.4 Expert advice10.5 Model backtesting11 Deposits and savings11.1 Deposits, monetary aggregates, money supply and macroeconomics11.2 Demand deposit accounts11.3 Saving accounts: regulated and non-regulated savings versus super-savings11.4 Demand deposits models in the literature11.5 Deposit modelling: the solution through an approach based on customer behaviour modelling11.6 Deposit modelling through a customer behaviour modeling based approach: representation in risk indicators and FTP12 Loans12.1 Different types of loan12.2 Different definitions and formulae13 Prepayments13.1 The origins of the prepayment phenomenon13.2 The constitution of the database for prepayment modelling13.3 Different models: historical database-based approaches and MBS-based approaches13.4 Prepayment scoring13.5 Prepayment monitoring14 Other examples of products needing behavioural modelling14.1 Pipeline risk14.2 Margin delay effects such as "whistle effects"14.3 Other volume effects options15 Examples of products partially correlated with financial markets15.1 Presence of correlation between the cash flows and financial markets: examples of credit card15.2 Costs and commissions correlation with financial markets15.3 Examples of embedded options16 New production modelling16.1 New contract production16.2 Commission and cost modelling16.3 Perequation modelling16.4 Future strategies modelling17 Insurance products17.1 Unit of account contracts17.2 Mutual funds18 Hedging instruments18.1 Derivatives18.2 Bond strategies18.3 Mortgage Backed SecuritiesPART IV RISK MANAGEMENT FOR ASSET AND LIABILITY MANAGERS19 Financial risks19.1 Liquidity risk19.2 Credit risk19.3 Interest rate risk19.4 Inflation risk19.5 Currency risk19.6 Corporate stock market risk19.7 Real estate risk/property risk19.8 Other financial risks20 Non-financial risks20.1 Operational risks20.2 Model risks20.3 Business risk20.4 Risk correlations20.5 "Accounting risk": the risk representation depends on the accounting scheme!PART V TOOLS FOR ASSET AND LIABILITY MANAGERS21 Simulation tools for interest rates and other financial indexes21.1 Stochastic calculation21.2 Equity market simulation21.3 Interest rate simulation21.4 Generic models for joint simulation of inflation, stock index, interest rates, real estate, liquidity and credit spreads21.5 Market simulations including risk premiums22 Delta equivalent computation22.1 Principles22.2 Delta, penta, correla and courba equivalents or "Adam equivalents"22.3 Delta equivalent associated break-even point22.4 Examples of delta equivalent computation22.5 Hedging error and gamma equivalent23 Technical tools useful in ALM23.1 Risk measures23.2 Optimization methods23.3 Common statistical tools in ALM23.4 Other statistical tools and common ALM functionsPART VI ECONOMIC VALUE AND NEW RISK INDICATORS ASSOCIATED WITH THE BASEL II AND SOLVENCY II REGULATORY PERSPECTIVE24 Basel II regulation and Solvency II24.1 Common regulatory risk constraints24.2 Basel II: normalized regulatory constraints24.3 Solvency II25 Links between ALM and financial analysis25.1 Performance indicators in the company25.2 Shareholder's equity value, economic value and risk premiums25.3 Capital allocation/attribution and capital consumption25.4 Company valuation and cost of capital with positive tax rate25.5 Merton's model25.6 Financial analysis and ALM implications26 Towards economic capital indicators26.1 Economic capital and its implications26.2 Economic capital computation main hypotheses26.3 ALM stress testing26.4 Credit risk economic capital computation26.5 Economic capital in ALM26.6 IFRS and regulation implications for ALM26.7 New indicators for the economic value approachPART VII OPTIMAL RETURN STRATEGIES27 Risk perfect hedging using the delta equivalent technique27.1 Micro hedging strategies with structured products27.2 Delta hedging strategies27.3 Example of a bank balance sheet with demand deposits28 Limits policy28.1 Economic capital limit28.2 Setting economic capital limits28.3 Gap limit28.4 Income sensitivity limit29 Income smoothing strategies29.1 Important preliminary comment about income smoothing and fraud29.2 Examples of income smoothing29.3 Example of a cumulative AFS bonds income smoothing strategy29.4 ALM and Hawks martingale30 Economic value management: the A/L manager's optimization programme under economic capital constraints and accounting constraints30.1 Point of view of "traditional A/L managers" and criticism of the models30.2 Economic value management30.3 Economic value optimization using grid methodology31 Application to Banking Book activities31.1 Deposit accounts: valuation and hedging in an economic capital approach using the grid methodology31.2 Application to Stock Market Book31.3 Application to Credit Risk Book31.4 Prepayment risk optimal hedging strategies31.5 Application to a global Banking Book including business and model risk31.6 Direct demand deposit income smoothing through a simple example32 Economic value management in insurance companies and in Capital Book management32.1 Economic value management in insurance companies32.2 Application to economic Capital Book managementPART VIII CONCLUSIONS ON THE ALM OF TOMORROW33 Conclusions on the future of ALM33.1 ALM diversity33.2 ALM benchmarking33.3 Conclusions on ALM and modelsPART IX ANNEXES34 Statistical advanced tools34.1 Extreme points34.2 Copulas35 The basis of interest rate modelling35.1 Yield curve reconstitution35.2 Yield curve stochastic interest rate modelsBibliographyIndex.