Asset liability management optimization : a practitioner's guide to balance sheet management and remodelling /: a practitioner's guide to balance sheet management and remodelling. (2020)

• Record Type: Book
• Further Information: Note: Beata Lubinska.
• Authors: Lubinska, Beata, 1973-
• Contents: Foreword ix About the Author xi Introduction xiii Chapter 1 ALM of the Banking Book 1 The Role of Asset Liability Management in Commercial Banks 1 Overview of Financial Risks Existing in the Banking Book 7 Regulatory Requirements – Basel III 13 Capital Requirements According to Basel III/CRD IV 17 Selective Review of the Literature Related to ALM and Integrated Management of the Interest Rate Risk and Liquidity Risk in Commercial Banks 19 Chapter 2 Methods of Measurement and Management of the Interest Rate Risk and Liquidity Risk 23 Interest Rate Risk in the Banking Book – Measurement and Management 24 Exposure to Short-Term Interest Rate Risk – Maturity Gap Analysis 24 Maturity Gap Analysis from the Economic Value Perspective 33 Liquidity Risk in the Banking Book – Measurement and Management 41 Short-Term Liquidity Management Principles 45 Medium Long-Term Liquidity – The Principles of Structural Liquidity Management 46 The Role of Funds Transfer Pricing in Banks 50 Pricing of Different Products in the Banking Book 54 Behaviouralisation Concept in FTP 57 Chapter 3 Customer Behaviour and Its Impact on Interest Rate and Liquidity Risk 61 Significance and Impact of Behavioural Issues in the Banking Book 61 Modelling of Customers’ Deposits – Liabilities Side 63 Balance Sensitivity Modelling 68 Modelling of Loans with Early Redemption Optionality –Assets Side 70 Statistical Prepayments 70 Financial Prepayments 71 Chapter 4 Formulation of the Optimisation Process and Articulation of the Decision Model 73 The Optimisation Method Applied to the Banking Book 74 Introduction of the Optimisation Concept 75 Definition of the Initial Banking Book Profile 79 Building the Objective and Constraint Functions in the Optimisation Process 81 The Importance of Model Sensitivity Analysis 96 Definition of the Sensitivity Parameters for the Optimisation Model 98 ‘Significant Changes in Interest Rates’ Scenario 98 Changes in the Initial Proportions of the Asset Base 100 Changes in the Output of the Deposit Characterisation Model – Balance Volatility, Balance Sensitivity, and Average Life of the Product 100 Introduction of the CPR into the Model 100 Chapter 5 Practical Example of the Optimisation Process and Quantification of the Economic Impact under Base and Stress Scenarios 101 Case Study: Economic Impact from the Optimisation Model under Baseline and Sensitivity Scenarios for Bank 1 102 Case Study: Economic Impact from the Optimisation Model under Baseline and Sensitivity Scenarios for Bank 2 114 Conclusions 125 Appendix 1 Details of the Analysis Performed for Bank 1 129 Appendix 2 Details of the Analysis Performed for Bank 2 157 Bibliography 209 Index 213
• Edition: 1st
• Publisher Details: Hoboken, New Jersey : John Wiley & Sons, Inc
• Publication Date: 2020
• Extent: 1 online resource
• Subjects: 332.10681; Asset-liability management; Banks and banking
• Languages: English
• ISBNs: 9781119635512; 9781119635499
• Related ISBNs: 9781119635482
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.