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|Additional Physical Format:||Print version:
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:||
|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.|