Asset & liability management : a guide to value creation and risk control
著者
書誌事項
Asset & liability management : a guide to value creation and risk control
Financial Times Prentice Hall, 2002
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Asset and liability management : a guide to value creation and risk control
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注記
"What every banker, central banker, banks' auditors, consultants and lawyers need to know"
Includes bibliographical references (p. 148-149) and index
内容説明・目次
内容説明
As institutional shareholders increase pressure on value creation and as central banks around the world are forcing banks to improve their ALM capabilities, the time has come for every banker to master the tools of Asset and Liability Management, and the control of value creation and risk. Written for a general business audience by Jean Dermine, an INSEAD expert, Asset and Liability Management is a complete toolbox for those wishing to get to grips with the subject. Unique in its concise, clear and accessible presentation of the concepts, the book steers clear of complex mathematics and presents the tools in an intuitive and simple way by using modern, visual, educational techniques.The book 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 does one 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? It also includes discussions on profit-centre management, pricing credit risk and loan provisioning, and the management of interest rate and liquidity risks.Threading through the book are a set of exercises with solutions to measure understanding of the concepts as they build on each other.
Packaged with the book is a step-by-step tutorial CD-ROM that focuses on visuals, and exercises with built-in solutions. This can be used as a stand-alone self-learning device or as a tool after reading the book to test and reinforce the concepts learnt.
目次
Banking services and balance sheet Value creation for shareholders ROE breakdown Profit centre management Profit allocation and transfer pricing for deposits and loans The capital adequacy regulation Loan pricing (1): the 'equity' spread Loan pricing (2): credit risk and credit provisions Securitization Value creation: a summary The control of interest rate risk (1): the repricing gaps The control of interest rate risk (2): the simulation model Forwards and financial futures The control of interest rate risk (3): the value of equity at risk The control of liquidity risk Options Asset and liability management: an art, not a science
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