acknowledgments.
About the author.
You are reading: Asset liability management books
introduction of part i.
1 the history of storage
1.1 the history of the banking industry from ancient times to the middle ages.
1.2 the modern banking industry and the history of storage
1.3 the history of the insurance and storage industry
1.4 the history of other businesses and stores
2 What is asset and liability management today?
2.1 alm and the banking industry.
2.2 other general alarm questions.
part ii internal transfer pricing, accounting and auditing.
presentation of 3 balance sheets.
3.1 presentation of the balance sheet.
3.2 presentation of a manager’s balance sheet.
3.3 bank book and insurance book.
3.4 statement of income and statement of cash flows.
4 “accrual accounting” for interest rate instruments versus “marked-to-market” accounting.
4.1 general principles.
4.2 examples of accumulated accounting.
accounting 5 ifrs and ias.
5.1 niif, international organizations and presentation of rules.
5.2 ias 39.
5.3 financial disclosures.
5.4 niif and insurance.
5.5 other specificities of the ifrs.
5.6 impact of ifrs on alm and critiques of ifrs.
6 “economic accounting”: fair value and total fair value.
7 internal transfer prices or funds transfer prices (ftp).
7.1 principles.
7.2 Advanced transfer pricing, including credit risk and expected return on economic capital.
7.3 the inclusion of the inclusion of implicit options in the ftp rules “contract by contract” and the opportunity for arbitration by the commercial department.
7.4 ftp rules based on “stock” and “streams”.
7.5 examples of ftp rules.
7.6 perequations.
8 stores as profit center.
8.1 a profit center for a financial risk.
9 optimal organization of a stored team
9.1 the usual organization of alms.
9.2 storage targets
9.3 alco: the alm.committee
9.4 the different storage equipment
part iii modeling balance sheet items and products.
10 behavioral modeling principles.
10.1 the constitution of databases.
event-based modeling 10.2.
10.3 modeling the company’s strategy.
10.4 expert advice.
backtest of the 10.5 model.
11 deposits and savings.
11.1 deposits, monetary aggregates, money supply and macroeconomics.
11.2 demand deposit accounts.
11.3 savings accounts: regulated and free savings versus super savings.
11.4 Demand deposit models in the literature.
11.5 repository modeling: the solution through a client behavior modeling approach.
11.6 modeling of deposits through an approach based on customer behavior models: representation in indicators of risk and ftp.
12 loans.
12.1 different types of loan.
12.2 different definitions and formulas.
13 prepayments.
See Also: I Stack Experience Through Writing Books – Chapter 115 – Mangatx
13.1 the origins of the prepaid phenomenon.
13.2 the constitution of the database for prepaid modeling.
13.3 different models: historical database based approaches and mbs based approaches.
13.4 prepaid score.
13.5 prepaid tracking.
14 other examples of products that need behavior models.
14.1 pipe hazard.
14.2 margin delay effects like “hiss effects”
14.3 other volume effect options.
15 examples of products partially correlated with financial markets.
15.1 presence of correlation between cash flows and financial markets: credit card examples.
15.2 correlation of costs and commissions with the financial markets.
15.3 examples of embedded options.
16 new production models.
16.1 new production contract.
16.2 commission and cost modeling.
16.3 modeling of equations.
16.4 modeling future strategies.
17 insurance products.
17.1 unit of account contracts.
17.2 mutual funds.
18 hedging instruments.
18.1 derivatives.
18.2 bonus strategies.
18.3 mortgage-backed securities.
part iv risk management for asset and liability managers.
19 financial risks.
19.1 liquidity risk.
19.2 credit risk.
19.3 interest rate risk.
inflation risk of 19.4.
19.5 foreign exchange risk.
19.6 corporate stock market risk.
19.7 real estate risk/patrimonial risk.
19.8 other financial risks.
20 non-financial risks.
20.1 operational risks.
20.2 risks of the model.
20.3 business risk.
20.4 risk correlations.
20.5 “accounting risk”: the representation of the risk depends on the accounting scheme!
part v tools for asset and liability managers.
21 simulation tools for interest rates and other financial indices.
21.1 stochastic calculation.
21.2 stock market simulation.
21.3 interest rate simulation.
21.4 generic models for joint simulation of inflation, stock index, interest rates, real estate, liquidity and credit spreads.
21.5 market simulations, including risk premiums.
calculation of the equivalent delta 22.
22.1 principles.
22.2 delta, penta, correla and courba equivalents or “adam equivalents”
22.3 delta equivalent associated break-even point.
22.4 delta equivalent calculation examples.
coverage error of 22.5 and gamma equivalent.
23 useful technical tools in storage
23.1 risk measures.
23.2 optimization methods.
23.3 common statistical tools in storage
23.4 other statistical tools and common alarm functions.
part vi economic value and new risk indicators associated with the regulatory perspective of basel ii and solvency ii.
Regulation 24 Basel II and Solvency II.
See Also: The best books of 2020 on The Future, This Week – Sydney Business Insights (SBI)
24.1 Common Regulatory Risk Restrictions.
24.2 basel ii: normalized regulatory restrictions.
24.3 solvency ii.
25 links between alm and financial analysis.
25.1 performance indicators in the company.
25.2 equity value, economic value and risk premiums.
25.3 capital allocation/attribution and capital consumption.
25.4 company valuation and capital cost with positive tax rate.
25.5 merton model.
25.6 financial analysis and storage implications
26 towards indicators of economic capital.
26.1 economic capital and its implications.
26.2 main hypotheses for calculating economic capital.
26.3 storage stress tests
26.4 calculation of the economic capital of credit risk.
26.5 economic capital in storage
26.6 ifrs and regulatory implications for storage
26.7 new indicators for the economic value approach.
part vii optimal performance strategies.
27 perfect hedge risks using the delta equivalent technique.
27.1 Micro-hedging strategies with structured products.
27.2 delta hedging strategies.
27.3 example of a bank balance sheet with demand deposits.
28 limits policy.
28.1 economic capital limit.
28.2 establishment of economic capital limits.
28.3 space limit.
income sensitivity limit of 28.4.
29 income leveling strategies.
29.1 important preliminary comment on income leveling and fraud.
29.2 examples of income leveling.
29.3 example of a cumulative afs bond income leveling strategy.
29.4 alm and martingale of hawks.
30 economic value management: the a/l manager optimization program under economic capital constraints and accounting constraints.
30.1 point of view of the “traditional a/l managers” and critique of the models.
30.2 economic value management.
30.3 optimization of economic value using grid methodology.
31 application to bank book activities.
31.1 Deposit accounts: valuation and hedging in an economic capital approach using the grid methodology.
31.2 application to the stock book.
31.3 application to credit risk book.
31.4 Optimal hedging strategies for prepayment risk.
application of 31.5 to a global banking book that includes model and business risk.
31.6 direct demand deposit income smoothing through a simple example.
32 economic value management in insurance companies and capital book management.
32.1 economic value management in insurance companies.
32.2 application to the management of the book of economic capital.
part viii conclusions on the alms of tomorrow.
33 conclusions about the future of storage
33.1 diversity of alarms.
comparative evaluation of 33.2 stores
33.3 conclusions about alm and models.
part ix annexes.
34 advanced statistical tools.
34.1 extreme points.
34.2 copulas.
35 the basis of the interest rate model.
35.1 Reconstitution of the yield curve.
35.2 stochastic interest rate models of the yield curve.
bibliography.
index.
See Also: Books to Read if You Love The Angels vs. Demons Trope – Riveted