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Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling Hardcover – April 20 2020

3.4 out of 5 stars 6 ratings

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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

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
  • Customer Reviews:
    3.4 out of 5 stars 6 ratings

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Customer reviews

3.4 out of 5 stars
3.4 out of 5
6 global ratings

Top reviews from Canada

Reviewed in Canada on September 8, 2020
Reviewed in Canada on May 30, 2021

Top reviews from other countries

Ettienne Grobler
5.0 out of 5 stars A first on balance sheet optimisation
Reviewed in the United Kingdom on April 29, 2021
Verified Purchase
1.0 out of 5 stars Thought this book would be useful but...
Reviewed in the United States on April 27, 2021
Verified Purchase
Syed Azhar Imam
5.0 out of 5 stars One of the Best Book on ALM!
Reviewed in the United States on August 4, 2021
Verified Purchase
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Syed Azhar Imam
5.0 out of 5 stars One of the Best Book on ALM!
Reviewed in the United States on August 4, 2021
I really recommend this book for the professionals who work in ALM and Market Risk. One of the best topic of the book is the interrelation between liquidity risk and interest rate risk.
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.
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