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Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling Hardcover – April 20 2020
Beata Lubinska (Author) Find all the books, read about the author and more. See search results for this author |
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An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk
Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit. Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book.
ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM.
- A description of the Funds Transfer Pricing (FTP) process related to a bank’s target position
- Detailed examinations of interest rate risk in the banking book (IRRBB)
- Discussion of Basel III regulatory requirements and maturity gap analysis
- Overview of customer behavior, along with its impact on interest rate and liquidity risk
- Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits)
- Explorations of model risk, sensitivity analysis, and case studies
The optimization techniques found in Asset Liability Management Optimization can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.
- ISBN-101119635489
- ISBN-13978-1119635482
- Edition1st
- PublisherWiley
- Publication dateApril 20 2020
- LanguageEnglish
- Dimensions16.76 x 2.29 x 24.38 cm
- Print length240 pages
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Product description
From the Inside Flap
An advanced method for financial institutions to optimise Asset Liability Management for maximised return and minimised risk
Virtually all financial institutions rely on Asset Liability Management units to match term structures and cash flows of their asset liability portfolios. This has always been key to maximising returns while minimising risk.
However, the role of the ALM unit has evolved and expanded in recent years. Heavy regulation and in- creased competition have forced banks to constantly seek ways to improve their ALM operations. ALM units must now actively manage regulatory capital and monitor the banking book to ensure their insti- tutions remain profitable and increasing competition for resources has forced Asset Liability Managers to extend beyond the risk management field.
These are new challenges. Luckily, there are practical ways to overcome them. Asset Liability Management Optimisation will teach you how to develop an ALM operation built to thrive in today's world. Author Beata Lubinska emphasises a quantifiable and holistic approach, in which interest rate risk and liquidity risk management are combined, helping ALM units precisely determine whether their efforts have yielded genuine improvements. This book is for any ALM professional or unit eager to adapt to new responsibili- ties and expectations.
ALM operations must evolve for financial institutions to succeed. This invaluable guide explains how they can.
From the Back Cover
Praise for Asset Liability Management Optimisation
'This book is a key reference for Treasury professionals at financial institutions. Beata Lubinska has produced an innovative book that covers in a practical way the latest trends in asset liability management.'
Juan Ramirez, Deloitte LLP
'Asset Liability Management Optimisation is a classic reference book for bankers like me. I have worked in the banking sector predominantly in risk management and internal audit for almost 20 years and I am very happy to endorse this book. Researchers, students and banking professionals will find it helpful in understanding liquidity risk management and balance sheet management. I hope Dr. Beata Lubinska would write more books periodically as she is an expert on the subject matter and has adequate expertise and industry experience in banking and consultancy and assurance services. Definitely her experience in Big4 and banking has made this book a very valuable reference material.'
Harish Nair, Senior Manager, National Bank Oman
Optimise your banking book with a quantifiable approach
Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modelling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimisation method to help maximise asset return and minimise funding cost in the banking book.
This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM.
- A description of the Funds Transfer Pricing (FTP) process related to a bank's target position
- Detailed examinations of interest rate risk in the banking book (IRRBB)
- Discussion of Basel III regulatory requirements and maturity gap analysis
- Overview of customer behavior, along with its impact on interest rate and liquidity risk
- Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimisation model for minimisation of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits)
- Explorations of model risk, sensitivity analysis, and case studies
About the Author
BEATA LUBINSKA is a Founder of BL Advisory & Consulting, a boutique firm based in London. Previously, she has worked in senior positions in a number of financial services companies such as GE Capital, Deloitte, Standard Chartered Bank, and MeDirect Group in London, where her focus was mainly on Interest Rate Risk in the Banking Book (IRRBB), Market Risk, Balance Sheet Management, and Funds Transfer Pricing. She has over 16 years of practical experience developed in the Asset Liability management space gained both in Milan and London. Beata is also a faculty member at The Certificate of Bank Treasury Risk Management, where she teaches optimisation techniques in Asset Liability Management. She holds a PhD in Finance from Wroclaw University of Economics.
Visit http://www.bladvisory.com/ for more information.
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Product details
- Publisher : Wiley; 1st edition (April 20 2020)
- Language : English
- Hardcover : 240 pages
- ISBN-10 : 1119635489
- ISBN-13 : 978-1119635482
- Item weight : 562 g
- Dimensions : 16.76 x 2.29 x 24.38 cm
- Best Sellers Rank: #173,607 in Books (See Top 100 in Books)
- #13 in Pricing
- #13 in Pricing Management
- #30 in Banking Textbooks
- Customer Reviews:
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Customer reviews
Top reviews from Canada
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The perfect book for those looking to learn the general principles of ALM. It gives an excellent introduction to the role and functions of ALM without going into too much details.
The book provides a practical way of addressing many ALM concepts and illustrates exactly how to plan and originate customer products to optimise the balance sheet.
Highly recommended !!
Top reviews from other countries

The optimisation model starts off with the identification of the initial structure of the banking book. The next step involves defining the objective and constraint functions for the optimisation model. It is built in such a way so that the risk appetite of the bank reflects its appetite in terms of liquidity, interest rate risk and capital absorption by asset class.
The book is current and incorporates the most recent Basel legislation. The optimisation model makes provision for unique assumptions as it relates to specific banks. She spent a great amount of time on how the model was implemented for two banks.
I recommend this book highly to anyone interested in the balance sheet management, but more specifically, how to optimise the balance sheet such that the asset and liability sides are constructed in such a way that profits are optimised. This book is truly unique!


All the very best Beata Lubinska (Author) for her upcoming book on the Interest Rate Risk. Hope the same will also be informative as the ALM Optimisation book has.


Reviewed in the United States on August 4, 2021
All the very best Beata Lubinska (Author) for her upcoming book on the Interest Rate Risk. Hope the same will also be informative as the ALM Optimisation book has.
