(Wiley Finance) 1st Edition
by Beata Lubinska (Author)
An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk
Financial
institutions today are facing daunting regulatory and economic
challenges. As they manage bank regulation and competition, institutions
are also optimizing their Asset Liability Management (ALM) operations.
The function of the ALM unit today goes beyond risk management related
to the banking book into managing regulatory capital and positioning the
balance sheet to maximize profit. Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling
offers a step-by-step process for modeling and reshaping a bank's
balance sheet. Based on the author's extensive research, it describes
how to apply a quantifiable optimization method to help maximize asset
return and minimize funding cost in the banking book.
ALM ranks
as a key component of any financial institution's overall operating
strategy. Now, financial professionals can use an advanced solution for
optimizing ALM. This book takes a closer look at the evolving role of
the ALM function and the target position of the banking book. It
provides strategies for active management, structuring, and hedging of a
bank balance sheet, while also exploring additional topics related to
ALM.
- A description of the Funds Transfer Pricing (FTP) process related to a bank’s target position
- Detailed examinations of interest rate risk in the banking book (IRRBB)
- Discussion of Basel III regulatory requirements and maturity gap analysis
- Overview of customer behavior, along with its impact on interest rate and liquidity risk
- Practical
spreadsheet models (NII sensitivity and EVE volatility IRRBB model,
simplified optimization model for minimization of average funding cost
for a bank and an example of behavioral model for Non-Maturing Deposits)
- Explorations of model risk, sensitivity analysis, and case studies
The optimization techniques found in Asset Liability Management Optimization
can prove vital to financial professionals who are tasked with
maximizing asset return and reducing funding costs as a critical part of
business objectives.
