Product Description

Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis.

Highlights of the book include detailed coverage of:

• liquidity, gap and funding risk management
• hedging using interest-rate derivatives and  credit derivatives
• impact of Basel II
• securitisation and balance sheet management
• structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM
• treasury operations and group transfer pricing.

Concepts and techniques are illustrated with case studies  and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators and graduate students in banking and finance.

Includes free CD-ROM that contains software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.

Product Details

• Amazon Sales Rank: #36740 in Books
• Published on: 2007-04-13
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 1440 pages

From the Inside Flap
Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis.

Highlights of the book include detailed coverage of:

• liquidity, gap and funding risk management
• hedging using interest-rate derivatives and  credit derivatives
• impact of Basel II
• securitisation and balance sheet management
• structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM
• treasury operations and group transfer pricing.

Concepts and techniques are illustrated with case studies  and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators and graduate students in banking and finance.

From the Back Cover
"Again, Moorad Choudhry takes his readers beyond the older books in the market that simply list a string of facts, and into a world of highly practical and up-to-the-minute concepts and strategies.  Bank asset-liability management is about knowing when and how to use all the tools available…This book tackles the whole spectrum." —Peter Eisenhardt, Head of Short Term Fixed Income Origination, Debt Capital Markets, Bank of America, N.A.

“Like the author’s book The Bond and Money Markets:Strategy, Trading, Analysis, this is again a superb example how a financial book should be written.... The book comes highly recommended.” —Tibor Szigeti , Fixed Income Analytics, Bloomberg L.P., London

"An informative account of banking ALM from the point of view of the market practitioner.” —Shahid Ikram, Head of UK Sovereign bonds and G7 hedge fund, Morley Fund Management LT

“A highly readable text which serves as an essential primer for both market practitioners and academics alike to help understand the rapidly evolving risk management techniques used by Treasury and Money Market desks.” —Adam Sutton, Head of European Repo, Global Funding Desk, Bank of America, London

"Bank Asset and Liability Management offers a clear, insightful perspective of the global banking and liquidity markets…This book is a great reference tool for all finance professionals. Really, really impressive." —Bhavin Parmar, Securities Finance Trader, ABN Amro Bank N.V., London

“A brilliant and comprehensive account of all the various disciplines that make up the art of bank asset-liability management. A fantastic work! Every bank should have a copy of this book.” —Mohamoud Barre Dualeh, Private Banking Unit, Abu Dhabi Commercial Bank, UAE

“This latest publication is an essential read for anyone involved in the industry. Moorad delivers financial theories in a practical and entertaining package.” —Mark Williams (Director) and Wei Lieh Goh, Hedge Fund Derivatives, KBC Financial Products, London

About the Author
Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance with JPMorgan Chase Bank.
Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Fellow of the Securities Institute in the City of London. He is co-editor with Professor Frank Fabozzi of The Handbook of European Fixed Income Securities.

Customer Reviews

Great practitioner's guide
This is an extensive book written from the practitioner's viewpoint; consequently, it is a lot more useful than a textbook for those looking for real world applications that they may readily implement in their day-to-day. Additionally, the appendixes constitute a great review of tools and techniques for any fixed-income person. My only caution is that there are some mistakes and/or internal inconsistencies in the examples used, where the data in the formulas does not match the information in the discussion, which can make it frustrating to follow. Additionally, if the reader is not proficient in fixed income math and curve building he/she may not be able to ascertain where the errors are. The book is a good introduction to students, but an even better reference source for experienced operators and fixed income number crunchers. Overall, an excellent reference book for the real world practitioner.

Every bank should have a copy of this book
This book is the complete reference and toolkit for all commercial and investment bank risk managers and board members. The section on asset-liability management is excellent and provides a step-by-step guide on to how to set up the ALM function, how to manage liquidity risk reporting and the templates to use. In fact, the failure of the US and European banking sector in 2008 was due to many of them not following the fundamental precepts laid out in Professor Choudhry's book. Other useful features of the book are a user's guide to hedging both credit and interest-rate risk, and a very handy summary of bank regulatory capital rules. Highly recommended.

A good place to start and a good reference
A good handbook, initially recommended to me by a seasoned Treasury Risk Manager. I found it a good starting point for someone starting out in the treasury, and to understand the "under the hood" building components of a treasury.
ALCO, Basics of building a Liquidity portfolio, the interaction between the banking layers, and so on have been covered, albeit as a primer and one can build on the knowledge base.
This helps anyone getting into the role of supervising the treasury and risk associated. The in CD ROM that accompanies the book is a good resource to start understanding concepts in excel, with a whole chapter allocated to that, I found it very useful. Cubic spline, OAS technique etc are described in the software.
A good starter book, I would recommend for the serious Treasury professional at less than 100USD, a good price.