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Bank Asset and Liability Management : Strategy Trading Analysis.

Author: Moorad Choudhry
Publisher: Chichester : John Wiley & Sons, 2011.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Choudhry, Moorad.
Bank Asset and Liability Management : Strategy Trading Analysis.
Chichester : John Wiley & Sons, ©2011
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Moorad Choudhry
ISBN: 9781118177211 1118177215
OCLC Number: 771876001
Notes: Asset-swap spread.
Description: 1 online resource (2038 pages)
Contents: Cover; Contents; Title; Copyright; Dedication; Foreword; Preface; AbouttheAuthor; PART I: Banking Business, Bank Capital and Debt Market Instruments; CHAPTER 1: Bank Business and Bank Capital; Banking business; Capital; Financial statements and ratios; The money markets; Financial transactions; Characteristics of the money market; Money market conventions; CHAPTER 2: Financial Statements and Ratio Analysis; Firm financial structure and company accounts; Ratio analysis; CHAPTER 3: The Money Markets; Introduction; Securities quoted on a yield basis; Securities quoted on a discount basis. Extendable note commercial paperCommercial paper dealing sheet; Money market screens on Bloomberg; BBVA money market rate screens on Bloomberg; Foreign exchange markets; Deposits and loans; Appendices; CHAPTER 4: The Bond Instrument; Bond-market basics; Capital market participants; Overview of the main bond markets; Bond pricing and yield: The traditional approach; Bond yield; Accrued interest, clean and dirty bond prices; Floating-rate notes; Bond instruments and interest-rate risk; Option-adjusted spread analysis; Appendices; PART II: Bank Treasury Asset-Liability Management. CHAPTER 5: Asset-Liability Management IBasic concepts; Liquidity gap; Managing liquidity; The liquidity ratio; CHAPTER 6: Asset-Liability Management II; Introduction; Basic concepts; Interest-rate risk and source: Banking book; The ALM desk; Liquidity and interest-rate risk; Critique of the traditional approach; The cost of funding; Generic ALM policy for different banks; Securitisation; Appendix; CHAPTER 7: ALM Trading Principles; Trading approach; Repo market specials trading; An analysis of special repo rates; Matched book trading in repo; Hedging tools; Appendix. CHAPTER 8: Asset-Liability Management III: The ALCOALCO policy; ALCO reporting; CHAPTER 9: The Yield Curve; Importance of the yield curve; Part I: The money market yield curve; Using the yield curve; Yield-to-maturity (YTM) yield curve; The coupon yield curve; The par yield curve; The zero-coupon (or spot) yield curve; Using spot rates in bond analysis; The forward yield curve; The annuity yield curve; The Term Structure; Spot and forward rates in the market; Analysing and interpreting the yield curve; Yield curves as a function of the stochastic behaviour of interest rates. Further views on the yield curveInterpreting the yield curve; Fitting the yield curve; Part II: A further look at spot and forward rates; Coupon bonds; Introduction to bond analysis using spot rates and forward rates in continuous time; Appendices; CHAPTER 10: The Determinants of the Swap Spread and Understanding the Term Premium; The determinants of the swap spread; The term premium; Impact of macro-level economic and political factors on swap spreads; CHAPTER 11: Introduction to Relative Spread Analysis; Relative value analysis: bond spreads; Swap spread and Treasury spread.

Abstract:

Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis. Highlights of the book include detailed coverage of:liquidity, gap and funding risk managementhedging using interest-rate derivatives and credit der.

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