Handbook of Asset and Liability Management

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-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.

Auteur

ALEXANDRE ADAM is a French Asset and Liability Manager born
in 1973 in Reims, France. He has a Statistician and Economist
Post-graduate Diploma of Ecole Nationale de la Statistique et de
l'Administration Economique, Malakoff, France. In 1993, he
studied Engineering at Ecole Polytechnique, Palaiseau, the major
French "Grande Ecole", where he was awarded an Advanced
Graduate Degree. Alexandre also has a Masters degree in Mathematics
from University Paris-VI.

Since 1997, he has worked for BNP Paribas, in the ALM and Treasury
Department, initially in charge of the optional interest rate risks
in the Balance Sheet before working as a Front Office market
operator. Alexandre is now responsible for the Financial Models
Team, where his team contributes to the ALM models and indicators
such as Stress Tests, economic capital, behavioural models
estimation, retail credit risk, implementation and calculation of
the Banking Book Value at Risk and Equity Allocation in the Banking
Book.

Alexandre is an actuary of the French Institute of Actuaries and is
a member of the scientific committee of AFGAP, the French
Association of Asset and Liability Managers. Since 2005, Alexandre
has also been a Master Degree lecturer at University Paris
XIII.

Alexandre has published many articles on ALM in specialised
journals.

Texte du rabat
The Handbook of Asset & Liability Management: From Models to Optimal Return Strategies is a Comprehensive resource for Asset and Liability Management (ALM) Professionals, providing the very latest global coverage of the topic. Starting with a look at the history of Asset and Liability Management and the current climate, the book then examines a range of accounting and auditing obligations, including IFRS and balance sheet presentation. Balance sheet items and products modelling are then explained in detail as well as the entire associated range of financial and non-financial risks. As well as the practical issues encountered by ALM managers, the Handbook of Asset Liability Management also considers the growing quantitative aspects of the role, looking at a range of technical tools and applications including market simulations, stochastic calculations, delta equivalent computations, and traditional and non-traditional statistical tools.

The book then discusses capital requirements within the ALM context, notably the impacts of Basel II and solvency II and economic capital indicators. The final section of the book explains optimal return strategies, looking at risk perfect hedging, limits policies, income smoothing strategies and economic value management.

The accompanying CD ROM features demonstrations of some basic ALM problems such as ALM Delta Equivalent computation; FTP computation and ALM risk indicators computation. It also includes modelling examples such as demand deposits, savings and prepayment modelling; and practical examples taken from a simplified retail Banking ALM framework.

Contenu
Preface. Acknowledgments.

About the author.

PART I INTRODUCTION.

1 The History of ALM.

1.1 The history of the banking industry from antiquity to the Middle Ages.

1.2 The modern banking industry and the history of ALM.

1.3 The history of the insurance industry and ALM.

1.4 The history of other businesses and ALM.

2 What is Asset and Liability Management Today?

2.1 ALM and the banking industry.

2.2 Other general ALM questions.

PART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING.

3 Balance Sheet Presentation.

3.1 General balance sheet presentation.

3.2 A/L manager's balance sheet presentation.

3.3 Banking Book and Insurance Book.

3.4 Income statement and statement of cash flows.

4 Accrued Accounting for Interest Rate Instruments Versus Marked-to-Market Accounting.

4.1 General principles.

4.2 Accrued accounting examples.

5 IFRS and IAS Accounting.

5.1 IFRS, international organizations and rule presentation.

5.2 IAS 39.

5.3 Financial disclosures.

5.4 IFRS and insurance.

5.5 Other IFRS specificities.

5.6 Impact of IFRS on ALM and criticism of IFRS.

6 Economic Accounting: Fair Value and Full Fair Value.

7 Internal Transfer Pricing or Fund Transfer Pricing (FTP).

7.1 Principles.

7.2 Advanced transfer pricings including credit risk and expected return on economic capital.

7.3 The inclusion of implicit options inclusion in the contract by contract FTP rules and commercial department arbitrage opportunity.

7.4 FTP rules based on the stock and based on the flows.

7.5 Examples of FTP rules.

7.6 Perequations.

8 ALM as a Profit Centre.

8.1 One profit centre for one financial risk.

9 Optimal Organization of an ALM Team.

9.1 The usual ALM organization.

9.2 The objectives of ALM.

9.3 ALCO: the ALM committee.

9.4 The different ALM teams.

PART III BALANCE SHEET ITEMS AND PRODUCTS MODELLING.

10 Behavioural Modelling Principles.

10.1 The constitution of databases.

10.2 Event driven modelling.

10.3 Modelling the strategy of the company.

10.4 Expert advice.

10.5 Model backtesting.

11 Deposits and Savings.

11.1 Deposits, monetary aggregates, money supply and macroeconomics.

11.2 Demand deposit accounts.

11.3 Saving accounts: regulated and non-regulated savings versus super-savings.

11.4 Demand deposits models in the literature.

11.5 Deposit modelling: the solution through an approach based on customer behaviour modelling.

11.6 Deposit modelling through a customer behaviour modelling based approach: representation in risk indicators and FTP.

12 Loans.

12.1 Different types of loan.

12.2 Different definitions and formulae.

13 Prepayments.

13.1 The origins of the prepayment phenomenon.

13.2 The constitution of the database for prepayment modelling.

13.3 Different models: historical database-based approaches and MBS-based approaches.

13.4 Prepayment scoring.

13.5 Prepayment monitoring.

14 Other Examples of Products Needing Behavioural Modelling.

14.1 Pipeline risk.

14.2 Margin delay effects such as whistle effects

14.3 Other volume effects options.

15 Examples of Products Partially Correlated with Financial Markets.

15.1 Presence of correlation between the cash flows and financial markets: examples of credit card.

15.2 Costs and commissions correlation with financial markets. &lt...