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Asset and liability management: the bankers guide to value creation and risk control

Author: Dermine, Jean ; Bissada, Youssef F.INSEAD Area: Entrepreneurship and Family Enterprise ; FinancePublisher: Prentice Hall, 2007. ; Financial Times, 2007.Edition: 2nd ed.Language: EnglishDescription: 188 p. : Graphs/Ill. ; 24 cm. includes CD-ROM / DVDISBN: 027371001XType of document: INSEAD BookNote: CD inside back coverBibliography/Index: Includes bibliographical references and indexAbstract: The purpose of this book is to study asset and liability management (ALM) in banking. It includes a set of tools that ensure that value is created for shareholders and that risks are brought under control. The unique pedagogy takes the form of a book and a software. As the banking world shifts from an overriding concern for balance sheet expansion to a preoccupation with rates of return on capital and risk control, knowledge of ALM is becoming a necessity for all bankers accountable for the results of a profit centre.
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Item type Current location Collection Call number Status Notes Date due Barcode Item holds
INSEAD Book Asia Campus
Textbook Collection
Print HG1615.25 .D47 2007
(Browse shelf)
900225132
Consultation only 900225132
INSEAD Book Asia Campus
Textbook Collection
Print HG1615.25 .D47 2007
(Browse shelf)
900204909
Consultation only 900204909
INSEAD Book Asia Campus
Textbook Collection
Print HG1615.25 .D47 2007
(Browse shelf)
900175562
Consultation only 900175562
INSEAD Book Europe Campus
Main Collection
Print HG1615.25 .D47 2007
(Browse shelf)
001359571
Available 1 CD inside back cover 001359571
INSEAD Book Europe Campus
Main Collection
Print HG1615.25 .D47 2007
(Browse shelf)
001221179
Available No CD inside 001221179
INSEAD Book Europe Campus
Main Collection
Print HG1615.25 .D47 2007
(Browse shelf)
001224488
Available CD inside back cover 001224488
INSEAD Book Middle East Campus
INSEAD Publications Display
Print HG1615.25 .D47 2007
(Browse shelf)
500001538
Available 500001538
Total holds: 0

CD inside back cover

Includes bibliographical references and index

The purpose of this book is to study asset and liability management (ALM) in banking. It includes a set of tools that ensure that value is created for shareholders and that risks are brought under control. The unique pedagogy takes the form of a book and a software. As the banking world shifts from an overriding concern for balance sheet expansion to a preoccupation with rates of return on capital and risk control, knowledge of ALM is becoming a necessity for all bankers accountable for the results of a profit centre.

Digitized

Asset and Liability Management The banker's guide to value creation and risk control Contents Acknowledgments viii Introduction ix Stage 1 Banking services and balance sheet 1 Stage 2 Value creation for shareholders 5 Stage 3 ROE breakdown 11 Stage 4 Profit centre management 19 Stage 5 Profit allocation and fund transfer pricing for deposits and loans 25 Stage 6 The capital adequacy regulation, Basel I 35 Stage 7 Loan pricing (1): The 'equity' spread 43 Stage 8 The capital adequacy regulation, Basel II 51 Stage 9 Loan pricing (2): Credit risk and loan-loss provisions 63 Stage 10 Securitization 71 Stage 11 Value creation: A summary 77 Stage 12 The control of interest rate risk (1): The repricing gaps 81 Stage 13 The control of interest rate risk (2): The simulation model 89 Stage 14 Forwards and financial futures 95 Stage 15 The control of interest rate risk (3): The economic value at risk 103 Stage 16 The control of liquidity risk 109 Stage 17 Options 113 Stage 18 Credit derivatives 119 Stage 19 The aggregation of risks and risk diversification 127 Stage 20 Asset and liability management: An art, not a science 135 Appendix A: Software 141 Appendix B: Answers to exercises 145 Appendix C: Glossary 167 Appendix D: References 179 Index 183

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