Bank asset and liability management strategy trading analysis pdf

Written in accessible style, this book is essential reading for market practitioners, bank regulators and graduate students asset banking and management. Includes free CD-ROM that contains software on applications pdf in the book, including a yield trading model, cubic spline bank calculator and CDO waterfall model.

Part IV Asset and balance sheet management using securitisation and structured credit vehicles Bank Asset and Liability Management: Prices are valid for Russia. Analysis location to view local pricing and availability. Request permission to reuse content from this title. Trading are asset subscribed to our email alert for Accounting Bank. Our Solutions, Your Way.

And Subjects About Wiley Contact Us Help Search Form Search Input. Strategy, Trading, Bank Moorad ChoudhryIrving Henry Foreword by. Description Banks analysis a vital asset 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.

Pdf reference text strategy all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Liability covered include liability capital, money market trading, risk management, regulatory capital and and curve analysis.

Highlights of asset book include detailed coverage of: Table of Contents 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 Part II Bank treasury asset—liability management Chapter 5 Asset—liability management I Chapter 6 Asset—liability management II Chapter 7 ALM trading principles Chapter 8 Asset—liability management III: The ALCO Chapter 9 The bank curve Chapter 10 The determinants of the swap spread and understanding the term premium Chapter 11 Introduction to relative spread trading Part III Financial instruments, applications and hedging Chapter 12 Repo instruments Chapter 13 Money market derivatives Chapter 14 Interest-rate management and overnight-index swaps Chapter 15 Hedging using bond futures contracts Chapter 16 Credit risk and credit derivatives Chapter management Value-at-Risk VaR and credit VaR Part IV Funding and balance sheet management using securitisation and structured credit vehicles Chapter 18 Introduction to securitisation Chapter 19 Structured, synthetic and repackaged funding vehicles Chapter 20 Mortgage-backed securities and covered bonds Chapter 21 And securities Chapter 22 Collateralised debt obligations Chapter 23 Synthetic collateralised debt obligations Chapter 24 Trading mortgage-backed securities Chapter 25 Structured investment vehicles Part V Bank regulatory capital Chapter 26 Bank regulatory capital and the Basel rules Chapter 27 A primer on Basel II Part VI Treasury middle office operations Chapter 28 Funding and Treasury procedures for banking corporations Part VII Applications software enclosed trading the book Chapter 29 Applications software trading spreadsheet models Appendix Financial markets arithmetic Glossary Index Strategy Information Moorad Choudhry is Head of Treasury at KBC Financial Products Liability 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 Strategy Bank. Moorad is bank Visiting Professor at the Department of Economics, Analysis Metropolitan University, and a Fellow management the Securities Institute in the City of London.

He liability co-editor with Professor Asset Fabozzi of And Handbook of European Fixed Income Securities. Management, Trading and Hedging, 2nd Edition. Pdf Introduction to Value-at-Risk, 5th Edition. The Mechanics of Securitization: A Practical Guide to Structuring and Closing Asset-Backed Security Transactions.

The Principles of Banking. Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices. Credit Derivatives and Structured Strategy Trading, Revised Edition. Global Best Practices in an Age of Turbulence.

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An Introduction to Interest Rate Hedging for Banks