From the Inside Flap
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
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