Description of The Handbook of Asset Liability Management |
This edition assembles an all new team of investment experts to provide state-of-the-art strategies, which confront the new investment opportunities, risk controls and regulatory requirements in the ever-evolving financial markets. A definitive tool to keep the balance sheet in line and market risk under control. Financial managers, investors and bankers will find expert strategies on: balancing interest rate volatility, profitability and capital requirements; measuring and managing market and credit risk; developing and implementing liability and funding strategies; using interest rate control tools (futures, options, swaps, caps and floors); building a customized asset/liability model.
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Contents of The Handbook of Asset Liability Management |
1. Introduction
2. The Profitable Side of Risk Management
3. A Practical Approach to Asset/Liability Management
4. Asset Securitization: Prospects and Issues
5. Price Volatility Characteristics of Fixed Income Securities
6. Measuring and Controlling Yield Curve Risk
7. Interest-Rate Risk Models Used by Depository Institutions
8. Risk Management in an Asset/Liability Framework
9. Thrift Bulletin 13: Implications for Thrift Managers
10.Implementing 'Value at Risk' in Balance Sheet Management, Using the Option- Adjusted Spread Model
11. Hedging Interest-Rate Risks through an Effective Documentation Process
12. Using the OAS Methodology to Value and Hedge Commercial Bank Retail Demand Deposit Premiums
13. Minimising Derivatives Risk through an Effective Documentation Process
14. Managing the Investment Portfolio
15. Commercial Banks, Risk-Based Capital, and Mortgage-Backed Securities Transactions
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About Frank J. Fabozzi and Atsuo Konishi |
Frank J. Fabozzi is adjunct professor of finance at Yale University's School of Management. He is the author, co-author, or editor of literally dozens of titles on a plethora of investing topics.
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