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Bank Asset and Liability Management. Strategy, Trading, Analysis Description:

"Again, Moorad Choudhry takes his readers beyond the older books in the market that simply list a string of facts, and into a world of highly practical and up–to–the–minute concepts and strategies. Bank asset–liability management is about knowing when and how to use all the tools available This book tackles the whole spectrum." Peter Eisenhardt, Head of Short Term Fixed Income Origination, Debt Capital Markets, Bank of America, N.A. "Like the author's book The Bond and Money Markets:Strategy, Trading, Analysis, this is again a superb example how a financial book should be written.... The book comes highly recommended." Tibor Szigeti, Fixed Income Analytics, Bloomberg L.P., London "An informative account of banking ALM from the point of view of the market practitioner." Shahid Ikram, Head of UK Sovereign bonds and G7 hedge fund, Morley Fund Management LT "A highly readable text which serves as an essential primer for both market practitioners and academics alike to help understand the rapidly evolving risk management techniques used by Treasury and Money Market desks." Adam Sutton, Head of European Repo, Global Funding Desk, Bank of America, London "Bank Asset and Liability Management offers a clear, insightful perspective of the global banking and liquidity markets.... This book is a great reference tool for all finance professionals. Really, really impressive." Bhavin Parmar, Securities Finance Trader, ABN Amro Bank N.V., London "A brilliant and comprehensive account of all the various disciplines that make up the art of bank asset–liability management. A fantastic work! Every bank should have a copy of this book." Mohamoud Barre Dualeh, Private Banking Unit, Abu Dhabi Commercial Bank, UAE "This latest publication is an essential read for anyone involved in the industry. Moorad delivers financial theories in a practical and entertaining package." Mark Williams (Director) and Wei Lieh Goh, Hedge Fund Derivatives, KBC Financial Products, London

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 133 Part II Bank treasury asset liability management 209 Chapter 5 Asset liability management I 211 Chapter 6 Asset liability management II 247 Chapter 7 ALM trading principles 305

Chapter 8 Asset liability management III: The ALCO 327 Chapter 9 The yield curve 339 Chapter 10 The determinants of the swap spread and understanding the term premium 451 Chapter 11 Introduction to relative spread analysis 477 Part III Financial instruments, applications and hedging 491 Chapter 12 Repo instruments 493 Chapter 13 Money market derivatives 539 Chapter 14 Interest–rate swaps and overnight–index swaps 625 Chapter 15 Hedging using bond futures contracts 713 Chapter 16 Credit risk and credit derivatives 745 Chapter 17 Value–at–Risk (VaR) and credit VaR 833 Part IV Funding and balance sheet management using securitisation and structured credit vehicles 881 Chapter 18 Introduction to securitisation 887 Chapter 19 Structured, synthetic and repackaged funding vehicles 921 Chapter 20 Mortgage–backed securities and covered bonds 961 Chapter 21 Asset–backed securities 999 Chapter 22 Collateralised debt obligations 1021 Chapter 23 Synthetic collateralised debt obligations 1059 Chapter 24 Synthetic mortgage–backed securities 1139 Chapter 25 Structured investment vehicles 1147 Part V Bank regulatory capital 1161 Chapter 26 Bank regulatory capital and the Basel rules 1165 Chapter 27 A primer on Basel II 1195 Part VI Treasury middle office operations 1241 Chapter 28 Funding and Treasury procedures for banking corporations 1243 Part VII Applications software enclosed with the book 1261 Chapter 29 Applications software and spreadsheet models 1263 Appendix Financial markets arithmetic 1277 Glossary 1315 Index 1383

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