Asset liability management optimisation a practitioner's guide to balance sheet management and remodelling
"The role of the Asset Liability Management function (ALM) in the management of the banking book of a bank is constantly growing. A clear evolution can be seen as ALM mangers realise that reactive approach, which consists in the management of the banking book as a passive structure resulting fr...
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| Format: | eBook |
| Language: | English |
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Chichester, West Sussex
John Wiley & Sons, Ltd
2020
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| Series: | Wiley finance series
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| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- Includes bibliographical references and index
- Front Matter
- ALM of the Banking Book
- Methods of Measurement and Management of the Interest Rate Risk and Liquidity Risk
- Customer Behaviour and Its Impact on Interest Rate and Liquidity Risk
- Formulation of the Optimisation Process and Articulation of the Decision Model
- Practical Example of the Optimisation Process and Quantification of the Economic Impact under Base and Stress Scenarios