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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 management
Hedging using interest-rate derivatives and credit derivatives
Impact of Basel II
Securitisation and balance sheet management
Structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM
Treasury operations and group transfer pricing.
Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators, and graduate students in banking and finance.
Companion website features online access to software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.
Auteur
Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance with JPMorgan Chase Bank.
Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Fellow of the Securities Institute in the City of London. He is co-editor with Professor Frank Fabozzi of The Handbook of European Fixed Income Securities.
Contenu
Foreword xi
Preface xiii
About the Author xxiii
Part I Banking business, bank capital and debt market instruments 1
Chapter 1 Bank business and bank capital 3
Chapter 2 Financial statements and ratio analysis 29
Chapter 3 The money markets 47
Chapter 4 The bond instrument 133
Part II Bank Treasury Asset-liability Management 209
Chapter 5 Asset-liability management I 211
Chapter 6 Asset-liability Management II 247
Chapter 7 ALM trading principles 305
Chapter 8 Asset-liability management III: The ALCO 327
Chapter 9 The yield curve 339
Chapter 10 The determinants of the swap spread and understanding the term premium 451
Chapter 11 Introduction to relative spread analysis 477
Part III Financial Instruments, Applications and Hedging 491
Chapter 12 Repo instruments 493
Chapter 13 Money market derivatives 539
Chapter 14 Interest-rate swaps and overnight-index swaps 625
Chapter 15 Hedging using bond futures contracts 713
Chapter 16 Credit risk and credit derivatives 745
Chapter 17 Value-at-Risk (VaR) and credit VaR 833
Part IV Funding and Balance Sheet Management Using Securitisation and Structured Credit Vehicles 881
Chapter 18 Introduction to securitisation 887
Chapter 19 Structured, synthetic and repackaged funding vehicles 921
Chapter 20 Mortgage-backed securities and covered bonds 961
Chapter 21 Asset-backed securities 999
Chapter 22 Collateralised debt obligations 1021
Chapter 23 Synthetic collateralised debt obligations 1059
Chapter 24 Synthetic mortgage-backed securities 1139
Chapter 25 Structured investment vehicles 1147
Part V Bank Regulatory Capital 1161
Chapter 26 Bank regulatory capital and the Basel rules 1165
Chapter 27 A Primer on Basel II 1195
Part VI Treasury Middle Office Operations 1241
Chapter 28 Funding and Treasury procedures for banking corporations 1243
Part VII Applications Software Enclosed with the Book 1261
Chapter 29 Applications software and spreadsheet models 1263
Appendix Financial markets arithmetic 1277
Glossary 1315
Index 1383