Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling (Wiley Finance) - Hardcover

Lubinska, Beata

Hardcover

ISBN 10: 1119635489 ISBN 13: 9781119635482

Verlag: Wiley, 2020

Inhaltsangabe

An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk

Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit.  Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book.

ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM.

• A description of the Funds Transfer Pricing (FTP) process related to a bank’s target position
• Detailed examinations of interest rate risk in the banking book (IRRBB)
• Discussion of Basel III regulatory requirements and maturity gap analysis         
• Overview of customer behavior, along with its impact on interest rate and liquidity risk
• Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits)
• Explorations of model risk, sensitivity analysis, and case studies 

The optimization techniques found in Asset Liability Management Optimization can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.

Über diesen Titel

Über die Autorin bzw. den Autor

BEATA LUBINSKA is a Founder of BL Advisory & Consulting, a boutique firm based in London. Previously, she has worked in senior positions in a number of financial services companies such as GE Capital, Deloitte, Standard Chartered Bank, and MeDirect Group in London, where her focus was mainly on Interest Rate Risk in the Banking Book (IRRBB), Market Risk, Balance Sheet Management, and Funds Transfer Pricing. She has over 16 years of practical experience developed in the Asset Liability management space gained both in Milan and London. Beata is also a faculty member at The Certificate of Bank Treasury Risk Management, where she teaches optimisation techniques in Asset Liability Management. She holds a PhD in Finance from Wroclaw University of Economics.

Von der hinteren Coverseite

An advanced method for financial institutions to optimise Asset Liability Management for maximised return and minimised risk

Virtually all financial institutions rely on Asset Liability Management units to match term structures and cash flows of their asset liability portfolios. This has always been key to maximising returns while minimising risk.

However, the role of the ALM unit has evolved and expanded in recent years. Heavy regulation and increased competition have forced banks to constantly seek ways to improve their ALM operations. ALM units must now actively manage regulatory capital and monitor the banking book to ensure their institutions remain profitable and increasing competition for resources has forced Asset Liability Managers to extend beyond the risk management field.

These are new challenges. Luckily, there are practical ways to overcome them. Asset Liability Management Optimisation will teach you how to develop an ALM operation built to thrive in today’s world. Author Beata Lubinska emphasises a quantifiable and holistic approach, in which interest rate risk and liquidity risk management are combined, helping ALM units precisely determine whether their efforts have yielded genuine improvements. This book is for any ALM professional or unit eager to adapt to new responsibilities and expectations.

ALM operations must evolve for financial institutions to succeed. This invaluable guide explains how they can.

Visit http://www.bladvisory.com/ for more information.

Aus dem Klappentext

An advanced method for financial institutions to optimise Asset Liability Management for maximised return and minimised risk

Virtually all financial institutions rely on Asset Liability Management units to match term structures and cash flows of their asset liability portfolios. This has always been key to maximising returns while minimising risk.

However, the role of the ALM unit has evolved and expanded in recent years. Heavy regulation and in- creased competition have forced banks to constantly seek ways to improve their ALM operations. ALM units must now actively manage regulatory capital and monitor the banking book to ensure their insti- tutions remain profitable and increasing competition for resources has forced Asset Liability Managers to extend beyond the risk management field.

These are new challenges. Luckily, there are practical ways to overcome them. Asset Liability Management Optimisation will teach you how to develop an ALM operation built to thrive in today's world. Author Beata Lubinska emphasises a quantifiable and holistic approach, in which interest rate risk and liquidity risk management are combined, helping ALM units precisely determine whether their efforts have yielded genuine improvements. This book is for any ALM professional or unit eager to adapt to new responsibili- ties and expectations.

ALM operations must evolve for financial institutions to succeed. This invaluable guide explains how they can.

Details zur Ausgabe

• Verlag: Wiley
• Erscheinungsdatum: 2020
• Sprache: Englisch
• ISBN 10: 1119635489
• ISBN 13: 9781119635482
• Einband: Gebundene Ausgabe
• Auflage: 1
• Anzahl der Seiten: 240
• Kontakt zum Hersteller: Wiley-VCH GmbH; product_safety@wiley.com; ; Boschstrasse 12; Weinheim; 69469; Deutschland