Asset and Liability Management: The banker's guide to value creation and risk control: Financial Times Series
Autor Jean Dermineen Limba Engleză Mixed media product – 4 feb 2007
Bankers' performance is increasingly evaluated against their value creation and so it is very much in their interests to be proficient in Asset & Liability Management (ALM), the control of value creation and risk.
This book is a general overview by a world expert in ALM and is a concise and crystal clear presentation of the essential concepts. It is packaged with a step-by-step tutorial CD with exercises, solutions and an attractive visual focus. It is unique in covering both value creation and risk control (most other books cover only risk control) and the new edition will include new chapters on the two new topics it is now essential for bankers to know about: Basel II and credit derivatives.
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Specificații
ISBN-13: 9780273710011
ISBN-10: 027371001X
Pagini: 200
Dimensiuni: 156 x 234 mm
Greutate: 0.56 kg
Ediția:2Nouă
Editura: Pearson Education
Colecția Financial Times/ Prentice Hall
Seria Financial Times Series
Locul publicării:Harlow, United Kingdom
ISBN-10: 027371001X
Pagini: 200
Dimensiuni: 156 x 234 mm
Greutate: 0.56 kg
Ediția:2Nouă
Editura: Pearson Education
Colecția Financial Times/ Prentice Hall
Seria Financial Times Series
Locul publicării:Harlow, United Kingdom
Cuprins
CONTENTS
Introduction
Software - How to Get Started
Chapter 1. Banking Services and Balance Sheet
Chapter 2. Value Creation for Shareholders
Chapter 3. ROE Decomposition
Chapter 4. Profit Centre Management
Chapter 5. Profit Allocation and Transfer Pricing for Deposits and Loans
Chapter 6. The Capital Adequacy Regulation
Chapter 7. Basel II Regulation
Chapter 8. Loan Pricing (1), the 'Equity' Spread
Chapter 9. Loan Pricing (2), Credit Risk and Credit Provisions
Chapter 10. Securitisation
Chapter 11. Credit Derivatives
Chapter 12. Value Creation, a Summary
Chapter 13. The Control of Interest Rate Risk (1), the Repricing Gaps
Chapter 14. The Control of Interest Rate Risk (2), the Simulation Model
Chapter 15. Forward and Financial Futures
Chapter 16. The Control of Interest Rate Risk (3), the Value of Equity at Risk
Chapter 17. The Control of Liquidity Risk
Chapter 18. Options
Chapter 19. Asset & Liabililty Management: An Art, not a Science
Chapter 20. Answers to Exercises
Glossary
Meeting Software Problems
References
Introduction
Software - How to Get Started
Chapter 1. Banking Services and Balance Sheet
Chapter 2. Value Creation for Shareholders
Chapter 3. ROE Decomposition
Chapter 4. Profit Centre Management
Chapter 5. Profit Allocation and Transfer Pricing for Deposits and Loans
Chapter 6. The Capital Adequacy Regulation
Chapter 7. Basel II Regulation
Chapter 8. Loan Pricing (1), the 'Equity' Spread
Chapter 9. Loan Pricing (2), Credit Risk and Credit Provisions
Chapter 10. Securitisation
Chapter 11. Credit Derivatives
Chapter 12. Value Creation, a Summary
Chapter 13. The Control of Interest Rate Risk (1), the Repricing Gaps
Chapter 14. The Control of Interest Rate Risk (2), the Simulation Model
Chapter 15. Forward and Financial Futures
Chapter 16. The Control of Interest Rate Risk (3), the Value of Equity at Risk
Chapter 17. The Control of Liquidity Risk
Chapter 18. Options
Chapter 19. Asset & Liabililty Management: An Art, not a Science
Chapter 20. Answers to Exercises
Glossary
Meeting Software Problems
References
Notă biografică
Jean Dermine is Professor of Banking and Finance at INSEAD and Director of the Center for International Financial Services. He is a world expert on ALM with more than 20 years' experience of research, consulting and the executive education of bankers around the world. He is also co-author of the computer-based simulation ALCO Challenge.
Youssef Bissada is founder and managing director of Bissada Management Simulations, a firm specialising in the development of computer-based learning tools.
Youssef Bissada is founder and managing director of Bissada Management Simulations, a firm specialising in the development of computer-based learning tools.
Textul de pe ultima copertă
Asset and Liability Management
The banker’s guide to value creation and risk control
Jean Dermine & Youssef Bissada
Financial Times Prentice Hall
[ADD TO FRONT JACKET]
"an outstanding book"
www.riskbook.com
Back Copy
"I have found your text extremely valuable this fall. The brevity of the presentation kept the students’ focus on the themes of value creation and risk management, instead of on institutional details".
Professor Ed Kane, Boston College
· Do you want to know how to evaluate performances on a risk-adjusted basis?
· Do you need to ensure that value is created for shareholders and that risks are under control?
· Do you have to price loans to ensure the creation of value?
If your answer to these questions is yes, thenAsset and Liability Management will help you become confident in all these activities and more, allowing you to progress within your role and be more in touch with the latest developments in the banking industry. Light on the maths, and with a disarming style and presentation, this book is a fast route to competence in ALM.
Packaged with the book is a step-by-step tutorial CD-ROM that focuses on the visual presentation of the key components of ALM and on exercises with built-in solutions. This can be used as a stand-alone self-learning device or as a tool to test and reinforce the concepts you have learnt after reading this book.
This revised edition includes brand new chapters on:
· Basel II, the new set of capital regulations that banks in most countries will have to follow from 2007. It provides an overview and a guide to avoiding the potential pitfalls.
· Credit derivatives, one of the most important new financial innovations of the last five years and one increasingly used by banks to trade credit risk.
· The aggregation of risks, that is the measurement of total risk when a bank faces multiple sources of risks.
Asset and Liability Management: the complete toolbox for any banker needing to get to grips with this critical subject.
Front Flap
"For anyone who is new to Asset and Liability management (ALM) –or for anyone who knows some of the pieces but would like to understand ALM as a unified whole –this is an outstanding book. Assuming only passing familiarity with bank management, it walks readers through all aspects of ALM … what I really like about it is the way it lets readers see the forest for the trees. Even experienced practitioners will appreciate how the authors have tied together the various elements that are collectively called ALM and shown how they work together as a unified whole ... I recommend the book to anyone, from a junior clerk to a new board member. It is informative, accessible and extremely well written".
Glyn A Holton, author and consultant, www.riskbook.com
As deregulation, financial and technological innovations, and competition are reducing margins around the world, the need for knowledge on Asset and Liability Management (ALM) has become an absolute necessity for many bankers. If you need to know the ins and outs of ALM and how to put it into practice, you can’t go wrong with this concise and crystal clear presentation of the essential concepts.
Asset and Liability Management includes discussions on profit-centre management, pricing credit risk and loan provisioning and the management of interest rate and liquidity risks. It sheds light on questions such as:
· How do the various pieces of the bank puzzle fit with one another?
· How does each piece of the bank contribute to value creation?
· How do you ensure that risks are being controlled?
· How do you evaluate performances on a risk-adjusted basis?
· How do you price loans to secure the creation of value?
This new edition has been thoroughly updated, and includes a new chapter on the Basel II legislation, which all banks will be expected to follow, as well as one on the huge growth area of credit derivatives and one on risk aggregation.
Asset and Liability Management is designed for corporate bankers, treasurers, head of retail branches, ALM specialists, and bank strategic planners. Central bankers, auditors, consultants, or lawyers will also find this book relevant.
Back Flap
Jean Dermine is Professor of Banking and Finance at INSEAD, Fontainebleau. With more than twenty-five years of research and consulting experience in the field of Asset and Liability Management, he has directed programs for bankers in Europe, the Americas, Africa, Australasia, Japan, South-East Asia, and the Middle East. Jean Dermine has been Visiting Professor at the Wharton School of the University of Pennsylvania, at the Universities of Lausanne and Louvain, at the Göteborg and Stockholm Schools of Economics, and a Visiting Fellow at New York University Salomon Center. He is the Founder of the INSEAD Center in International Financial Services (CIFS) and the co-author of the banking simulation ALCO Challenge.
Youssef F. Bissada is Emeritus Professor of Entrepreneurship and Family Business at INSEAD where he has been teaching and directing programs for thirty-five years. He is owner-president of Bissada Management Simulations, a company specializing in the development of computer-aided educational and strategic planning software packages, as well as president of the academic council of the Euro Arab Management School. Youssef Bissada works as a consultant for numerous universities, international organizations and corporations in Europe, Asia, Africa and the United States.
The banker’s guide to value creation and risk control
Jean Dermine & Youssef Bissada
Financial Times Prentice Hall
[ADD TO FRONT JACKET]
"an outstanding book"
www.riskbook.com
Back Copy
"I have found your text extremely valuable this fall. The brevity of the presentation kept the students’ focus on the themes of value creation and risk management, instead of on institutional details".
Professor Ed Kane, Boston College
· Do you want to know how to evaluate performances on a risk-adjusted basis?
· Do you need to ensure that value is created for shareholders and that risks are under control?
· Do you have to price loans to ensure the creation of value?
If your answer to these questions is yes, thenAsset and Liability Management will help you become confident in all these activities and more, allowing you to progress within your role and be more in touch with the latest developments in the banking industry. Light on the maths, and with a disarming style and presentation, this book is a fast route to competence in ALM.
Packaged with the book is a step-by-step tutorial CD-ROM that focuses on the visual presentation of the key components of ALM and on exercises with built-in solutions. This can be used as a stand-alone self-learning device or as a tool to test and reinforce the concepts you have learnt after reading this book.
This revised edition includes brand new chapters on:
· Basel II, the new set of capital regulations that banks in most countries will have to follow from 2007. It provides an overview and a guide to avoiding the potential pitfalls.
· Credit derivatives, one of the most important new financial innovations of the last five years and one increasingly used by banks to trade credit risk.
· The aggregation of risks, that is the measurement of total risk when a bank faces multiple sources of risks.
Asset and Liability Management: the complete toolbox for any banker needing to get to grips with this critical subject.
Front Flap
"For anyone who is new to Asset and Liability management (ALM) –or for anyone who knows some of the pieces but would like to understand ALM as a unified whole –this is an outstanding book. Assuming only passing familiarity with bank management, it walks readers through all aspects of ALM … what I really like about it is the way it lets readers see the forest for the trees. Even experienced practitioners will appreciate how the authors have tied together the various elements that are collectively called ALM and shown how they work together as a unified whole ... I recommend the book to anyone, from a junior clerk to a new board member. It is informative, accessible and extremely well written".
Glyn A Holton, author and consultant, www.riskbook.com
As deregulation, financial and technological innovations, and competition are reducing margins around the world, the need for knowledge on Asset and Liability Management (ALM) has become an absolute necessity for many bankers. If you need to know the ins and outs of ALM and how to put it into practice, you can’t go wrong with this concise and crystal clear presentation of the essential concepts.
Asset and Liability Management includes discussions on profit-centre management, pricing credit risk and loan provisioning and the management of interest rate and liquidity risks. It sheds light on questions such as:
· How do the various pieces of the bank puzzle fit with one another?
· How does each piece of the bank contribute to value creation?
· How do you ensure that risks are being controlled?
· How do you evaluate performances on a risk-adjusted basis?
· How do you price loans to secure the creation of value?
This new edition has been thoroughly updated, and includes a new chapter on the Basel II legislation, which all banks will be expected to follow, as well as one on the huge growth area of credit derivatives and one on risk aggregation.
Asset and Liability Management is designed for corporate bankers, treasurers, head of retail branches, ALM specialists, and bank strategic planners. Central bankers, auditors, consultants, or lawyers will also find this book relevant.
Back Flap
Jean Dermine is Professor of Banking and Finance at INSEAD, Fontainebleau. With more than twenty-five years of research and consulting experience in the field of Asset and Liability Management, he has directed programs for bankers in Europe, the Americas, Africa, Australasia, Japan, South-East Asia, and the Middle East. Jean Dermine has been Visiting Professor at the Wharton School of the University of Pennsylvania, at the Universities of Lausanne and Louvain, at the Göteborg and Stockholm Schools of Economics, and a Visiting Fellow at New York University Salomon Center. He is the Founder of the INSEAD Center in International Financial Services (CIFS) and the co-author of the banking simulation ALCO Challenge.
Youssef F. Bissada is Emeritus Professor of Entrepreneurship and Family Business at INSEAD where he has been teaching and directing programs for thirty-five years. He is owner-president of Bissada Management Simulations, a company specializing in the development of computer-aided educational and strategic planning software packages, as well as president of the academic council of the Euro Arab Management School. Youssef Bissada works as a consultant for numerous universities, international organizations and corporations in Europe, Asia, Africa and the United States.
Caracteristici
- Basel II explained: this book demystifies the new set of capital regulations, which must be followed from 2007.
- This revised edition now includes a chapter on credit derivatives - one of the most important new financial innovations of the last 5 years, allowing banks to buy insurance against credit risk.
- This guide to ALM is second to none. It presents ALM tools in a short, crisp and clear way - written for generalists by world experts.