The ALCO

The ideal bank or treasury department has a maximum return from effective balance sheet planning through the management of assets and liabilities. Due to the scale of treasury operations and stricter internal and external controls, this management has become increasingly complex. This comprehensive text will therefore serve to guide the financial aspects of asset/liability management such as requirement for capital adequacy through to discussion of duration and gap management. The text is aimed at those involved in plotting long term strategy for major institutions and will provide an invaluable reference source for Chairman, Chief Executives and those involved in portfolio management and the implementation of management information systems. Contributions are from major institutions involved in ALCO work and include; Price Waterhouse, Abbey National, Bank of England, Chase Manhattan, First Chicago and Smith New Court.

Inhalt
The Dynamics of Asset/Liability Management - Risk Adjusted Performance Measurement - Relationships between Banks and Their Corporate Customers - Global System Liquidity and Interest Rate Exposures - Organisational Issues - The Mechanics of Setting Up Asset/Liability Systems - Measurement of Risk - Duration and Convexity Management - The Use of Simulation Models - Risk Management with Derivatives - Foreign Exchange Risk and Risk Management - Forecasting Interest and Exchange Rates - The Calculation of Yield, Duration and Convexity