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Bank Asset and Liability Management: Strategy, Trading, Analysis [Kindle Edition]

Moorad Choudhry , Irving Henry
4.3 out of 5 stars  See all reviews (7 customer reviews)

Print List Price: £60.00
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Book 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 Description

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


Product details

  • Format: Kindle Edition
  • File Size: 29542 KB
  • Print Length: 1440 pages
  • Publisher: Wiley; 1 edition (27 Dec. 2011)
  • Sold by: Amazon Media EU S.à r.l.
  • Language: English
  • ASIN: B006RXL6BQ
  • Text-to-Speech: Enabled
  • X-Ray:
  • Word Wise: Not Enabled
  • Average Customer Review: 4.3 out of 5 stars  See all reviews (7 customer reviews)
  • Amazon Bestsellers Rank: #395,041 Paid in Kindle Store (See Top 100 Paid in Kindle Store)
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More About the Author

Moorad Choudhry has 25 years experience in investment banking and commercial banking in the City of London, having begun his career at the London Stock Exchange in August 1989. In the 1990s he worked as a Gilt-Edged Market Maker and Treasury trader at ABN Amro Hoare Govett and Hambros Bank, before moving on to Structured Finance at JPMorgan Chase Bank. As Head of Treasury at KBC Financial Products he led the team that structured and closed Picaros Funding Ltd, which was awarded "Structured Finance Deal of the Year" in 2005 by Euromoney magazine. At Europe Arab Bank his Treasury team closed Red Sea Master Series Ltd, an award-winning multi-SPV in-house securitisation transaction. His professional association is the Chartered Institute for Securities & Investments, of which he is a Fellow.

Moorad is a Professor at the Department of Mathematical Sciences, Brunel University, and an Honorary Professor at the University of Kent. His academic interests also include being a Visiting Teaching Fellow at Birkbeck, University of London and on the Board of Governors of IFS-University College.

After his family, Moorad's loves include AFC Wimbledon and Surrey County Cricket Club. The Members Dining Room at the Oval, home of Surrey CCC, ranks as amongst the most civilised places he has ever been to - along with the garden overlooking the Surrey Hills at Polesden Lacey National Trust property.

Moorad was born in Bangladesh and moved to Surrey, England when he was 8 years old.

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Customer Reviews

4.3 out of 5 stars
4.3 out of 5 stars
Most Helpful Customer Reviews
6 of 6 people found the following review helpful
5.0 out of 5 stars Excellent necessity for the markets 19 April 2008
Format:Hardcover
Excellent reference work and guide for bankers
This is a comprehensive and high quality guide on bank asset and liability management, which should be essential reading for anyone working in commercial or investment banking. Professor Choudhry covers every aspect of importance in the field of bank ALM, including Treasury policy, liquidity management, money markets trading, securitisation and risk hedging. The author has a deep understanding of markets, as a practitioner I found most useful his analysis of the Libor term premium and the fair value of the swap spread. These are topics are of importance for Treasurers and money market desks, and I have not found them covered anywhere else. For me, the two chapters on Basel I and Basel II reg cap are the most accessible account of this topic I have read in any book or research work. There is also a large amount of product description, which is useful for Treasury desks that engage in balance sheet securitisation work (for ALM purposes). The accompanying CD-R contains two yield curve models which allowed me to work thru the yield curve chapters very easily. An excellent all-round refernce work - every banker should read this.
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2 of 2 people found the following review helpful
2.0 out of 5 stars Too long 16 Dec. 2012
Format:Hardcover
This 1000 page book is confusing and could have been written in 200. The section on ALM is only small while the others sections addressing derivatives are a bad mixture of poorly defined math and useless rambling. Disappointing.
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Format:Hardcover
This well written book has to be THE definitive book on Bank Asset and Liability Management. The author - Moorad Choudhry - writing style is very engaging.

The layout of the book is as follows
Part I - Banking business, bank capital and debt markets
Part II - Bank treasury asset-liability management
Part III - Financial instruments, applications and hedging
Part IV - Funding and balance-sheet management using securitisation and structured credit vehicles
Part V - Regulatory capital and Basel rules
Part VI - Treasury middle office operations
Part VII - Applications software enclosed with the book.

The book offers a strong theoretical base and systematically builds on concepts, yet is still very pratical and provides a accurate insight into "best practise" Bank ALM processes.

I found the Section IV on funding and balance sheet management using securitization and structured vehicles particularly useful. I was also impressed with Part I on banking business, bank capital and debt markets.

I highly recommend this book - either for those who are new to the banking profession / bank ALM or those who are veterans (like myself) and have decades of banking experience.
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5.0 out of 5 stars Resourceful 17 Dec. 2012
By Clement
Format:Hardcover
The book covers all necessary aspects in understanding the banking business model. I found it resourceful and well diversified. For many it might seem long, but it requires a more detailed approach in understanding the bank's capital structure, asset-liabilities management, while including different measurement and hedging tools. The first two parts are self-explanatory in terms of "why does the reader need to understand them". The third part includes probably the most debated concepts and products since 2007/08. Derivative instruments in money markets add to the complexity of the model and risk measurements such as VaR are relevant in the decision-making process.
For an interested student (and not only), the book is a very useful reference. I would recommend it.
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