Asset-liability and liquidity management:
"Asset-Liability and Liquidity Management is a quantitative finance book, focused in the areas of Asset-Liability Management (ALM), Liquidity Risk and Funds Transfer Pricing (FTP), for bank, investment bank, hedge funds and investment professionals. It explains basic concepts and covers fundame...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, New Jersey
Wiley
[2020]
|
| Ausgabe: | First edition |
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | "Asset-Liability and Liquidity Management is a quantitative finance book, focused in the areas of Asset-Liability Management (ALM), Liquidity Risk and Funds Transfer Pricing (FTP), for bank, investment bank, hedge funds and investment professionals. It explains basic concepts and covers fundamentals of analytical finance in early chapters, and then follows with a comprehensive discussion of different financial valuation models and techniques for a wide range of products. Using fundamentals covered in earlier chapters, the book then focuses on two pillars of asset-liability management: economic value of equity and net interest income and explains them in rich detail. Concepts of liquidity risk and funds transfer pricing are each explained thoroughly in their own chapters. Since many of the subjects discussed in the book are analytical and based on statistical concepts, an Appendix is added to the end of the book to cover basic probability and statistics topics to promote a complete understanding of these topics applied to asset-liability and liquidity risk management. The book introduce the concept of Economic Value eof Equity (EVA), and explains various methods to exam the impact of change in market conditions on EVE of a financial company. In addition, it exams Funds transferring pricing (FTP) in detail, first introducing the basic concepts of FTP and then explores two major approaches in FTP, the pool method and match maturity method, for fixed-rate, floating-rate and non-maturing products." |
| Beschreibung: | Includes index |
| Beschreibung: | xxvi, 1028 Seiten Illustrationen |
| ISBN: | 9781119701880 |
Internformat
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| 520 | 3 | |a "Asset-Liability and Liquidity Management is a quantitative finance book, focused in the areas of Asset-Liability Management (ALM), Liquidity Risk and Funds Transfer Pricing (FTP), for bank, investment bank, hedge funds and investment professionals. It explains basic concepts and covers fundamentals of analytical finance in early chapters, and then follows with a comprehensive discussion of different financial valuation models and techniques for a wide range of products. Using fundamentals covered in earlier chapters, the book then focuses on two pillars of asset-liability management: economic value of equity and net interest income and explains them in rich detail. Concepts of liquidity risk and funds transfer pricing are each explained thoroughly in their own chapters. Since many of the subjects discussed in the book are analytical and based on statistical concepts, an Appendix is added to the end of the book to cover basic probability and statistics topics to promote a complete understanding of these topics applied to asset-liability and liquidity risk management. The book introduce the concept of Economic Value eof Equity (EVA), and explains various methods to exam the impact of change in market conditions on EVE of a financial company. In addition, it exams Funds transferring pricing (FTP) in detail, first introducing the basic concepts of FTP and then explores two major approaches in FTP, the pool method and match maturity method, for fixed-rate, floating-rate and non-maturing products." | |
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Datensatz im Suchindex
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| adam_text | Contents About the Author xvii Preface xix Abbreviations INTRODUCTION Asset-Liability Management Metrics ALM Risk Factors Organization of This Book CHAPTER t Interest Rate Interest Rate, Future Value, and Compounding Use of Time Notation versus Period Notation Simple Interest Accrual and Payment Periods Present Value and Discount Factor Present Value of Several Cash Flows Present Value ofAnnuity and Perpetuity Day Count and Business Day Conventions Treasury Yield Curve and Zero-Coupon Rate Bootstrapping LIBOR Forward Rates and Future Rates Implied Forward Rates Forward Rate Agreements Interest Rate Futures Swap Rate Determination of the Swap Rate Valuation ofInterest Rate Swap Contracts LIBOR-Swap Spot Curve xxiii 1 5 7 8 17 18 22 23 24 29 32 33 34 40 43 48 49 50 55 56 58 61 66 70 vii
CONTENTS viii Interpolation Methods Piecewise Linear Interpolation Piecewise Cubic Spline Interpolation Federal Funds and Prime Rates Overnight index Swap Rate OIS Discounting Secured Overnight Financing Rate Components of Interest Rate Risk Structure ofInterest Rate Term Structure ofInterest Rate Expectation Theory Market Segmentation Theory Liquidity Premium Theory Inflation and Interest Rate Negative Interest Rate Interest Rate Shock Parallel Shock Non-Parallel Shock Interest Rate Risk Summary Notes Bibliography CHAPTER 2 Valuation: Fundamentals of Fixed-Income and Non-Maturing Products Principal Amortization Bullet Payment at Maturity Linear Amortization Constant Payment Amortization Sum-of-Digits Amortization Custom Amortization Schedule Fixed-Rate Instrument Valuation Yield Duration and Convexity Dollar Duration and Dollar Convexity Portfolio Duration and Convexity Effective Duration and Effective Convexity Interest Rate Risk Immunization 75 76 78 84 87 88 94 95 97 98 100 102 102 102 103 105 106 107 109 110 112 114 115 116 116 117 118 121 123 124 124 130 133 142 143 144 145
ix Contents Key Rate Duration Fisher-Weil Duration Key Rate Duration Floating-Rate Instrument Pre-Period-Initiation Rate Setting Post-Period-Initiation Rate Setting Valuation Using Estimated Interest Rates at Future Reset Dates Using Implied Forward Rate Using Forecasted Rate Valuation Using Assumption of Par Value at Next Reset Date Duration and Convexity Valuation Using Simulated Interest Rate Paths Non-Maturing Instrument No New Business Treatment No New Account Treatment Constant Balance Treatment Inclusion of Prepayment and Default: A Roll Forward Approach Summary Notes Bibliography CHAPTER 3 Equity Valuation Dividend Discount Model Discounted Free Cash Flow Method Comparative Valuation Using Price Ratios Summary Note Bibliography CHAPTER 4 Option Valuation Stock Option Boundary Values Call Option Put Option Put-Call Parity Underlying Stock Does Not Pay Dividends Underlying Stock Pays Dividends or Provides Yield Binomial Tree 155 156 160 165 166 166 168 168 171 177 182 184 191 192 196 197 198 207 210 210 213 214 217 226 233 234 235 237 238 240 241 243 247 247 251 252
CONTENTS x The Black-Scholes-Merton Model Generalization of the Black-Scholes-Merton Model Option Valuation Using Monte Carlo Simulation Sensitivity of Option Value Sensitivity to Underlying Price Sensitivity to Volatility Sensitivity to the Interest Rate Sensitivity to the Passage of Time Volatility Historical Volatility Implied Volatility Non-Constant Volatility ARCH and GARCH Models Forecasting Volatility Using the GARCH Model The GARCH-M Model The Exponentially Weighted Moving Average Model The EWMA Model for Covariance Option Valuation Using a GARCH Model Futures Options Futures Contract Option on Futures Contract Put-Call Parity for Futures Options Black Model Using a Binomial Tree for Valuation ofFutures Options Summary Annex 1: Derivation of Put-Call Parity When the Underlying Pays Dividends Annex 2: Derivation of Delta, Gamma, Vega, Rho, and Theta Notes Bibliography CHAPTER 5 Interest Rate Models Instantaneous Forward Rate and Short Rate Vasicek Model Hull-White Model Но-Lee Model Black-Karasinski Model Interest Rate Options Swaption Interest Rate Cap and Floor 267 272 273 282 282 288 290 291 292 292 295 297 298 303 305 306 310 312 319 319 320 323 324 326 328 331 338 343 344 347 347 354 358 366 367 368 368 370
Contents X¡ Analytical Valuation of Bonds and Options Zero-Coupon Bond Option on a Zero- Coupon Bond Interest Rate Cap and Floor Option on a Coupon-Bearing Bond Swaption Interest Rate Tree The Hull-White Tree The Black-Karasinski Tree Calibration Calibration Using the Analytical Method Calibration Using the Interest Rate Tree LIBOR Market Model Summary Annex: Derivation of Zero-Coupon Bond Price Using a Af-Period Rate from the Hull-White Tree Notes Bibliography CHAPTER б Valuation of Bonds with Embedded Options Callable Bond Option-Adjusted Spread Putable Bond Summary Note Bibliography CHAPTER 7 Valuation of Mortgage-Backed and Asset-Backed Securities Mortgage-Backed Securities Fixed-Rate Conventional Mortgage Loans Prepayment Impact ofPrepayment on Mortgage-Backed Securities Valuation ofMortgage-Backed Securities Short Rate Model Mortgage Refinancing Rate Model Prepayment Model Cash Flow Generator Discounting and Aggregation Platform 373 373 374 375 376 376 377 382 400 405 408 413 420 425 427 429 430 433 433 441 444 446 447 447 449 450 452 460 463 476 476 480 483 483 484
CONTENTS xii Number of Simulated Paths and Convergence Impact of Default on Mortgage-Backed Securities 486 Collateralized Mortgage Obligations Valuation of Collateralized Mortgage Obligations sii Asset-Backed Securities Auto Loan ABSs Collateral Structure Prepayment Home Equity Loan ABSs Collateral Structure Prepayment Student Loan ABSs Collateral Structure Prepayment Credit Card Receivable ABSs Collateral Structure Cash Flow Distribution Method Prepayment Early Amortization Event Valuation ofAsset-Backed Securities Summary Annex: Derivation of Survival Factor Notes Bibliography CHAPTER 8 Economic Value of Equity Economic Value of Equity: Basics Duration Gap Risk-Adjusted Yield Curve Interest Rate Scenario Analysis Product Type and Value Sensitivity Impact ofInterest Rate Shocks on EVE Balance Sheet Type and EVE Sensitivity Currency Exchange Rate Scenario Analysis Economic Va!ue of Equity Risk Limits Balance Sheet Planning and EVE Forecasting ԵձՀ J523 524 ^24 ^24 ^28 529 529 530 531 534 534 535 550 552 553 554 557 559 562 567 574 575 584 593 594 597 597
Contents Basel Accord Guidance on EVE Analysis Principles ofManaging Interest Rate Risk in the Banking Book Scenario Construction and EVE Analysis Standardized Framework Summary Notes Bibliography CHAPTER 9 Net Interest Income Interest Income and Expense: Basics Interest Income and Expense for Floating-Rate Instruments Using the Implied Forward Rate Using the Forecasted Rate Incorporating Balance Sheet Change in Nil Analysis RunojfView: No New Volume Static View: Replacement ofMatured Positions Dynamic View: Incorporation ofBusiness Plan Earning Gap Interest Rate Scenario Analysis Parallel Shocks Non-Parallel Shocks Balance Sheet Type and Nil Sensitivity Impact of Interest Rate Options on Nil Currency Exchange Rate Scenario Analysis Currency Forward and Interest Rate Parity Exchange Rate Shock Scenarios Net Interest Income Hedging Net Interest Income Risk Limits Required Data and Other Considerations in Nil Analysis Basel Accord Guidance on Nil Analysis Summary Notes Bibliography CHAPTER 10 Equity and Earnings at Risk Introduction to Value-at-Risk Variance-Covariance Method Historical Sampling Method Monte Carlo Simulation Method Conditional Value-at-Risk xiii 600 601 604 607 608 610 611 613 614 620 621 631 638 638 642 644 648 653 654 664 670 673 683 683 687 691 697 699 701 702 704 704 705 706 708 710 713 717
CONTENTS xiv Application of VaR Methodology in ALM Scenario Generation Historical Sampling Monte Carlo Simulation Standard and Generalized Brownian Motion Multi-dimensional Brownian Motion Geometric Brownian Motion Mean-Reverting Brownian Motion Geometric Mean-Reverting Brownian Motion Calibration Equity-at-Risk Interest Rate Risk Factor Component Contribution Approximation Techniques Currency Exchange Rate Risk Factor Sample Size and Convergence Eamings-at-Risk Interest Rate Risk Factor Currency Exchange Rate Risk Factor Summary Notes Bibliography CHAPTER 11 Liquidity Risk Funding Source and Liquidity Risk Deposits Short-Term Debt Medium-Term Notes Long-Term Debt Securitization Credit and Liquidity Facilities Eurodollar Deposit and Federal Funds Market Other Sources ofFunding Short-Term Secured Funding: Repurchase Agreements Repo Basics Repo Margin Collateral Delivery Methods and Triparty Reno Use of Repo У Security Lending Repo and Liquidity Risk Managing Liquidity Risk ofRepo 719 721 721 726 726 730 731 734 739 743 743 744 748 749 752 758 762 763 769 775 776 777 779 780 781 783 788 789 790 793 795 796 796 796 800 801 802 807 809 811
Contents XV Cash Flow Gap Analysis and Liquidity Stress Tests Cash Flow Gap: Business-as-Usual Cash Flow Gap: Idiosyncratic Stress Cash Flow Gap: Market-Wide Stress Cash Flow Gap: Multi- Currency Funding Concentration Risk Basel Accord Liquidity Risk Monitoring Tools Liquidity Coverage Ratio High-Quality Liquid Asset Total Net Cash Outflows in Next 30 Days Net Stable Funding Ratio Available Stable Funding Required Stable Funding Intraday Liquidity Early Warning Indicators Liquidity Contingency Plan Summary Notes Bibliography CHAPTER 12 Funds Transfer Pricing Funds Transfer Pricing: Basics Pool Method Matched Maturity Method FTP Rate for Fixed-Rate Maturing Products Weighted Average Method Duration Method Refinancing Method FTP Rate for Floating-Rate Maturing Products FTP Rate for Non-Maturing Products Behavioral Model Method Replicating Model Method Components of FTP Rate Characteristics of a Good FTP System Summary Notes Bibliography Appendix: Elements of Probability and Statistics Index 816 823 833 841 849 854 855 856 857 859 873 874 874 884 892 893 893 896 897 899 900 906 910 910 913 914 915 917 920 920 930 932 934 936 938 938 939 1003
|
| adam_txt |
Contents About the Author xvii Preface xix Abbreviations INTRODUCTION Asset-Liability Management Metrics ALM Risk Factors Organization of This Book CHAPTER t Interest Rate Interest Rate, Future Value, and Compounding Use of Time Notation versus Period Notation Simple Interest Accrual and Payment Periods Present Value and Discount Factor Present Value of Several Cash Flows Present Value ofAnnuity and Perpetuity Day Count and Business Day Conventions Treasury Yield Curve and Zero-Coupon Rate Bootstrapping LIBOR Forward Rates and Future Rates Implied Forward Rates Forward Rate Agreements Interest Rate Futures Swap Rate Determination of the Swap Rate Valuation ofInterest Rate Swap Contracts LIBOR-Swap Spot Curve xxiii 1 5 7 8 17 18 22 23 24 29 32 33 34 40 43 48 49 50 55 56 58 61 66 70 vii
CONTENTS viii Interpolation Methods Piecewise Linear Interpolation Piecewise Cubic Spline Interpolation Federal Funds and Prime Rates Overnight index Swap Rate OIS Discounting Secured Overnight Financing Rate Components of Interest Rate Risk Structure ofInterest Rate Term Structure ofInterest Rate Expectation Theory Market Segmentation Theory Liquidity Premium Theory Inflation and Interest Rate Negative Interest Rate Interest Rate Shock Parallel Shock Non-Parallel Shock Interest Rate Risk Summary Notes Bibliography CHAPTER 2 Valuation: Fundamentals of Fixed-Income and Non-Maturing Products Principal Amortization Bullet Payment at Maturity Linear Amortization Constant Payment Amortization Sum-of-Digits Amortization Custom Amortization Schedule Fixed-Rate Instrument Valuation Yield Duration and Convexity Dollar Duration and Dollar Convexity Portfolio Duration and Convexity Effective Duration and Effective Convexity Interest Rate Risk Immunization 75 76 78 84 87 88 94 95 97 98 100 102 102 102 103 105 106 107 109 110 112 114 115 116 116 117 118 121 123 124 124 130 133 142 143 144 145
ix Contents Key Rate Duration Fisher-Weil Duration Key Rate Duration Floating-Rate Instrument Pre-Period-Initiation Rate Setting Post-Period-Initiation Rate Setting Valuation Using Estimated Interest Rates at Future Reset Dates Using Implied Forward Rate Using Forecasted Rate Valuation Using Assumption of Par Value at Next Reset Date Duration and Convexity Valuation Using Simulated Interest Rate Paths Non-Maturing Instrument No New Business Treatment No New Account Treatment Constant Balance Treatment Inclusion of Prepayment and Default: A Roll Forward Approach Summary Notes Bibliography CHAPTER 3 Equity Valuation Dividend Discount Model Discounted Free Cash Flow Method Comparative Valuation Using Price Ratios Summary Note Bibliography CHAPTER 4 Option Valuation Stock Option Boundary Values Call Option Put Option Put-Call Parity Underlying Stock Does Not Pay Dividends Underlying Stock Pays Dividends or Provides Yield Binomial Tree 155 156 160 165 166 166 168 168 171 177 182 184 191 192 196 197 198 207 210 210 213 214 217 226 233 234 235 237 238 240 241 243 247 247 251 252
CONTENTS x The Black-Scholes-Merton Model Generalization of the Black-Scholes-Merton Model Option Valuation Using Monte Carlo Simulation Sensitivity of Option Value Sensitivity to Underlying Price Sensitivity to Volatility Sensitivity to the Interest Rate Sensitivity to the Passage of Time Volatility Historical Volatility Implied Volatility Non-Constant Volatility ARCH and GARCH Models Forecasting Volatility Using the GARCH Model The GARCH-M Model The Exponentially Weighted Moving Average Model The EWMA Model for Covariance Option Valuation Using a GARCH Model Futures Options Futures Contract Option on Futures Contract Put-Call Parity for Futures Options Black Model Using a Binomial Tree for Valuation ofFutures Options Summary Annex 1: Derivation of Put-Call Parity When the Underlying Pays Dividends Annex 2: Derivation of Delta, Gamma, Vega, Rho, and Theta Notes Bibliography CHAPTER 5 Interest Rate Models Instantaneous Forward Rate and Short Rate Vasicek Model Hull-White Model Но-Lee Model Black-Karasinski Model Interest Rate Options Swaption Interest Rate Cap and Floor 267 272 273 282 282 288 290 291 292 292 295 297 298 303 305 306 310 312 319 319 320 323 324 326 328 331 338 343 344 347 347 354 358 366 367 368 368 370
Contents X¡ Analytical Valuation of Bonds and Options Zero-Coupon Bond Option on a Zero- Coupon Bond Interest Rate Cap and Floor Option on a Coupon-Bearing Bond Swaption Interest Rate Tree The Hull-White Tree The Black-Karasinski Tree Calibration Calibration Using the Analytical Method Calibration Using the Interest Rate Tree LIBOR Market Model Summary Annex: Derivation of Zero-Coupon Bond Price Using a Af-Period Rate from the Hull-White Tree Notes Bibliography CHAPTER б Valuation of Bonds with Embedded Options Callable Bond Option-Adjusted Spread Putable Bond Summary Note Bibliography CHAPTER 7 Valuation of Mortgage-Backed and Asset-Backed Securities Mortgage-Backed Securities Fixed-Rate Conventional Mortgage Loans Prepayment Impact ofPrepayment on Mortgage-Backed Securities Valuation ofMortgage-Backed Securities Short Rate Model Mortgage Refinancing Rate Model Prepayment Model Cash Flow Generator Discounting and Aggregation Platform 373 373 374 375 376 376 377 382 400 405 408 413 420 425 427 429 430 433 433 441 444 446 447 447 449 450 452 460 463 476 476 480 483 483 484
CONTENTS xii Number of Simulated Paths and Convergence Impact of Default on Mortgage-Backed Securities 486 Collateralized Mortgage Obligations Valuation of Collateralized Mortgage Obligations sii Asset-Backed Securities Auto Loan ABSs Collateral Structure Prepayment Home Equity Loan ABSs Collateral Structure Prepayment Student Loan ABSs Collateral Structure Prepayment Credit Card Receivable ABSs Collateral Structure Cash Flow Distribution Method Prepayment Early Amortization Event Valuation ofAsset-Backed Securities Summary Annex: Derivation of Survival Factor Notes Bibliography CHAPTER 8 Economic Value of Equity Economic Value of Equity: Basics Duration Gap Risk-Adjusted Yield Curve Interest Rate Scenario Analysis Product Type and Value Sensitivity Impact ofInterest Rate Shocks on EVE Balance Sheet Type and EVE Sensitivity Currency Exchange Rate Scenario Analysis Economic Va!ue of Equity Risk Limits Balance Sheet Planning and EVE Forecasting ԵձՀ J523 524 ^24 ^24 ^28 529 529 530 531 534 534 535 550 552 553 554 557 559 562 567 574 575 584 593 594 597 597
Contents Basel Accord Guidance on EVE Analysis Principles ofManaging Interest Rate Risk in the Banking Book Scenario Construction and EVE Analysis Standardized Framework Summary Notes Bibliography CHAPTER 9 Net Interest Income Interest Income and Expense: Basics Interest Income and Expense for Floating-Rate Instruments Using the Implied Forward Rate Using the Forecasted Rate Incorporating Balance Sheet Change in Nil Analysis RunojfView: No New Volume Static View: Replacement ofMatured Positions Dynamic View: Incorporation ofBusiness Plan Earning Gap Interest Rate Scenario Analysis Parallel Shocks Non-Parallel Shocks Balance Sheet Type and Nil Sensitivity Impact of Interest Rate Options on Nil Currency Exchange Rate Scenario Analysis Currency Forward and Interest Rate Parity Exchange Rate Shock Scenarios Net Interest Income Hedging Net Interest Income Risk Limits Required Data and Other Considerations in Nil Analysis Basel Accord Guidance on Nil Analysis Summary Notes Bibliography CHAPTER 10 Equity and Earnings at Risk Introduction to Value-at-Risk Variance-Covariance Method Historical Sampling Method Monte Carlo Simulation Method Conditional Value-at-Risk xiii 600 601 604 607 608 610 611 613 614 620 621 631 638 638 642 644 648 653 654 664 670 673 683 683 687 691 697 699 701 702 704 704 705 706 708 710 713 717
CONTENTS xiv Application of VaR Methodology in ALM Scenario Generation Historical Sampling Monte Carlo Simulation Standard and Generalized Brownian Motion Multi-dimensional Brownian Motion Geometric Brownian Motion Mean-Reverting Brownian Motion Geometric Mean-Reverting Brownian Motion Calibration Equity-at-Risk Interest Rate Risk Factor Component Contribution Approximation Techniques Currency Exchange Rate Risk Factor Sample Size and Convergence Eamings-at-Risk Interest Rate Risk Factor Currency Exchange Rate Risk Factor Summary Notes Bibliography CHAPTER 11 Liquidity Risk Funding Source and Liquidity Risk Deposits Short-Term Debt Medium-Term Notes Long-Term Debt Securitization Credit and Liquidity Facilities Eurodollar Deposit and Federal Funds Market Other Sources ofFunding Short-Term Secured Funding: Repurchase Agreements Repo Basics Repo Margin Collateral Delivery Methods and Triparty Reno Use of Repo У Security Lending Repo and Liquidity Risk Managing Liquidity Risk ofRepo 719 721 721 726 726 730 731 734 739 743 743 744 748 749 752 758 762 763 769 775 776 777 779 780 781 783 788 789 790 793 795 796 796 796 800 801 802 807 809 811
Contents XV Cash Flow Gap Analysis and Liquidity Stress Tests Cash Flow Gap: Business-as-Usual Cash Flow Gap: Idiosyncratic Stress Cash Flow Gap: Market-Wide Stress Cash Flow Gap: Multi- Currency Funding Concentration Risk Basel Accord Liquidity Risk Monitoring Tools Liquidity Coverage Ratio High-Quality Liquid Asset Total Net Cash Outflows in Next 30 Days Net Stable Funding Ratio Available Stable Funding Required Stable Funding Intraday Liquidity Early Warning Indicators Liquidity Contingency Plan Summary Notes Bibliography CHAPTER 12 Funds Transfer Pricing Funds Transfer Pricing: Basics Pool Method Matched Maturity Method FTP Rate for Fixed-Rate Maturing Products Weighted Average Method Duration Method Refinancing Method FTP Rate for Floating-Rate Maturing Products FTP Rate for Non-Maturing Products Behavioral Model Method Replicating Model Method Components of FTP Rate Characteristics of a Good FTP System Summary Notes Bibliography Appendix: Elements of Probability and Statistics Index 816 823 833 841 849 854 855 856 857 859 873 874 874 884 892 893 893 896 897 899 900 906 910 910 913 914 915 917 920 920 930 932 934 936 938 938 939 1003 |
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| dewey-full | 332.1068/1 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1068/1 |
| dewey-search | 332.1068/1 |
| dewey-sort | 3332.1068 11 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | First edition |
| format | Book |
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| id | DE-604.BV047123563 |
| illustrated | Illustrated |
| index_date | 2024-07-03T16:30:13Z |
| indexdate | 2024-07-10T09:03:17Z |
| institution | BVB |
| isbn | 9781119701880 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032529819 |
| oclc_num | 1183347628 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG |
| owner_facet | DE-473 DE-BY-UBG |
| physical | xxvi, 1028 Seiten Illustrationen |
| publishDate | 2020 |
| publishDateSearch | 2020 |
| publishDateSort | 2020 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Farahvash, Pooya Verfasser (DE-588)1229541888 aut Asset-liability and liquidity management Pooya Farahvash First edition Hoboken, New Jersey Wiley [2020] xxvi, 1028 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes index "Asset-Liability and Liquidity Management is a quantitative finance book, focused in the areas of Asset-Liability Management (ALM), Liquidity Risk and Funds Transfer Pricing (FTP), for bank, investment bank, hedge funds and investment professionals. It explains basic concepts and covers fundamentals of analytical finance in early chapters, and then follows with a comprehensive discussion of different financial valuation models and techniques for a wide range of products. Using fundamentals covered in earlier chapters, the book then focuses on two pillars of asset-liability management: economic value of equity and net interest income and explains them in rich detail. Concepts of liquidity risk and funds transfer pricing are each explained thoroughly in their own chapters. Since many of the subjects discussed in the book are analytical and based on statistical concepts, an Appendix is added to the end of the book to cover basic probability and statistics topics to promote a complete understanding of these topics applied to asset-liability and liquidity risk management. The book introduce the concept of Economic Value eof Equity (EVA), and explains various methods to exam the impact of change in market conditions on EVE of a financial company. In addition, it exams Funds transferring pricing (FTP) in detail, first introducing the basic concepts of FTP and then explores two major approaches in FTP, the pool method and match maturity method, for fixed-rate, floating-rate and non-maturing products." Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Bankenliquidität (DE-588)4213508-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Bilanzstrukturmanagement (DE-588)4413520-8 gnd rswk-swf Bilanzstrukturmanagement (DE-588)4413520-8 s Bankenliquidität (DE-588)4213508-4 s Kapitalmarkttheorie (DE-588)4137411-3 s DE-604 Finanzmathematik (DE-588)4017195-4 s Kreditmarkt (DE-588)4073788-3 s Erscheint auch als Onlineausgabe, pdf 978-1-119-70192-7 Erscheint auch als Onlineausgabe, epub 978-1-119-70191-0 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032529819&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Farahvash, Pooya Asset-liability and liquidity management Kapitalmarkttheorie (DE-588)4137411-3 gnd Bankenliquidität (DE-588)4213508-4 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Bilanzstrukturmanagement (DE-588)4413520-8 gnd |
| subject_GND | (DE-588)4137411-3 (DE-588)4213508-4 (DE-588)4073788-3 (DE-588)4017195-4 (DE-588)4413520-8 |
| title | Asset-liability and liquidity management |
| title_auth | Asset-liability and liquidity management |
| title_exact_search | Asset-liability and liquidity management |
| title_exact_search_txtP | Asset-liability and liquidity management |
| title_full | Asset-liability and liquidity management Pooya Farahvash |
| title_fullStr | Asset-liability and liquidity management Pooya Farahvash |
| title_full_unstemmed | Asset-liability and liquidity management Pooya Farahvash |
| title_short | Asset-liability and liquidity management |
| title_sort | asset liability and liquidity management |
| topic | Kapitalmarkttheorie (DE-588)4137411-3 gnd Bankenliquidität (DE-588)4213508-4 gnd Kreditmarkt (DE-588)4073788-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Bilanzstrukturmanagement (DE-588)4413520-8 gnd |
| topic_facet | Kapitalmarkttheorie Bankenliquidität Kreditmarkt Finanzmathematik Bilanzstrukturmanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032529819&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT farahvashpooya assetliabilityandliquiditymanagement |