Asset-Liability Management for Financial Institutions: Balancing Financial Stability with Strategic Objectives

by Bob Swarup (Editor)

Overview

Effective asset-liability management (ALM) of a financial institution requires making informed strategic and operational decisions. Ever more important in the wake of the corporate bailouts and collapses of the financial crisis, ALM encompasses the formulation, implementation, monitoring, and revision of strategies, often on a daily basis due to the fast-moving nature of the related risks and constraints.

This approachable book features up-to-date practitioner and academic perspectives to provide you with the knowledge you need. Key foundation information is backed up by the latest research and thought leadership to form a comprehensive guide to ALM for today and into the future, with case studies and worked examples. Detailed coverage includes:

* Successful risk management frameworks
* Coherent stress-testing
* Modeling market risk
* Derivatives and ALM
* Contingency funding to manage liquidity risks
* Basel III capital adequacy standard
* Investment management for insurers
* Property and casualty portfolio management
* Funds transfer pricing
* Problem loan modeling

Product Details

ISBN-13:	9781849300582
Publisher:	Bloomsbury Publishing
Publication date:	05/24/2012
Series:	Key Concepts
Sold by:	Barnes & Noble
Format:	eBook
Pages:	224
File size:	23 MB
Note:	This product may take a few minutes to download.

About the Author

Editor Bob Swarup is a respected commentator and expert on financial markets, alternative investments, asset-liability management, regulation, risk management, and pensions. He was formerly a partner at Pension Corporation, a leading UK-based pension buyout firm, and was at an AAA-rated hedge fund of funds in London before that. Swarup is a CAIA charter-holder and sits on the CAIA examinations council, the AllAboutAlpha.com editorial board, and the Adveq advisory board. He was a visiting fellow at the London School of Economics, setting up the Pensions Tomorrow research initiative, and a member of the CRO and Solvency II committees of the Association of British Insurers. Swarup holds a PhD (cosmology, Imperial College, London) and an MA (natural sciences, University of Cambridge). He has written extensively on diverse topics and is currently writing a book on financial crises throughout history and the common human factors underlying them, to be published by Bloomsbury in 2013.

Other contributors include: Marius Bochniak, Alex Canavezes, Giorgio Consigli, Kambiz Deljouie, Jean Dermine, Gary Deutsch, Massimo di Tria, Jens Hagendorff, Markus Krebsz, Jérôme L. Kreuser, Steven V. Mann, Jyothi Manohar, Krzysztof M. Ostaszewski, Corrado Pistarino, Mario Schlener, Hovik Tumasyan, Francesco Vallascas.
Bob Swarup is a respected investor, thought leader and commentator on financial markets, investments and regulation. Born in India in 1977, he was educated in England. He holds an MA from the University of Cambridge, two Masters degrees, and a PhD in cosmology from Imperial College London. He has managed investments at financial institutions, sat on the boards of hedge funds and private equity firms, worked closely with leading think tanks, advised policymakers and industry alike, and is an award-winning journalist. He lives in London.

Table of Contents

Introduction Bob Swarup vii

Contributors xi

The Big Challenges

Stress-Testing in Asset and Liability Management: A Coherent Approach Alex Canavezes Mario Schlener 3

Modeling Market Risk Marius Bochniak 19

ALM in Financial Intermediation: The Derivatives Business Krzysztof M. Ostaszewski 33

Optimal Long-Term Property and Casualty ALM with Risk Capital Control Giorgio Consigli Massimo di Tria 45

A Practitioner's Perspective on Investment Management for Shareholder Funds of European Insurers Kambiz Deljouie Corrado Pistarino 61

The Impact of Financial Crisis

Capital Regulation After the Financial Crisis Jens Hagendorff Francesco Vallascas 75

Correcting the Financial Crisis Failures of Asset-Liability Management (ALM) Risk Management Jérôme L. Kreuser 89

Formulating a Contingency Funding Plan to Manage Liquidity Risks Gary Deutsch 109

Funds Transfer Pricing: Beyond the Global Banking Crisis Jean Dermine 123

The Importance of Detail

Analyzing a Bank's Financial Performance Jyothi Manohar 135

Factoring Problem Loan Assumptions into Asset-Liability Management (ALM) Modeling Gary Deutsch 147

Product Taxonomy: A Key Tool for Understanding Risk-Return Within the Banking Framework Markus Krebsz 161

Tools for Measuring Interest Rate Risk Steven V. Mann 177

Understanding and Applying Funds Transfer Pricing Hovik Tumasyan 191

Index 207