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Asset and Liability Management A Guide to Value Creation and Risk Control

ISBN-10: 0273656562

ISBN-13: 9780273656562

Edition: 2002

Authors: Jean Dermine, Youssef F. Bissada

List price: $74.99
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Description:

As institutional shareholders increase pressure on value creation and as central banks around the world are forcing banks to improve their ALM capabilities, the time has come for every banker to master the tools of Asset and Liability Management, and the control of value creation and risk.Written for a general business audience by Jean Dermine, an INSEAD expert, Asset and Liability Management is a complete toolbox for those wishing to get to grips with the subject. Unique in its concise, clear and accessible presentation of the concepts, the book steers clear of complex mathematics and presents the tools in an intuitive and simple way by using modern, visual, educational techniques.The book sheds light on questions such as:- how do the various pieces of the bank puzzle fit with one another?- how does each piece of the bank contribute to value creation?- how does one ensure that risks are being controlled?- how do you evaluate performances on a risk-adjusted basis?- how do you price loans to secure the creation of value?It also includes discussions on profit-centre management, pricing credit risk and loan provisioning, and the management of interest rate and liquidity risks.Threading through the book are a set of exercises with solutions to measure understanding of the concepts as they build on each other.Packaged with the book is a step-by-step tutorial CD-ROM that focuses on visuals, and exercises with built-in solutions. This can be used as a stand-alone self-learning device or as a tool after reading the book to test and reinforce the concepts learnt.
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Book details

List price: $74.99
Copyright year: 2002
Publisher: Financial Times/Prentice Hall
Publication date: 3/28/2002
Binding: Mixed Media
Pages: 176
Size: 6.50" wide x 9.25" long x 1.00" tall
Weight: 1.100
Language: English

JEAN DERMINE is Professor of Banking and Finance at INSEAD and has taught at the Wharton School of the University of Pennsylvania, the Universities of Louvain and Lausanne, CESAG, NYU, and the Stockholm School of Economics.

Banking services and balance sheet
Value creation for shareholders
ROE breakdown
Profit centre management
Profit allocation and transfer pricing for deposits and loans
The capital adequacy regulation
Loan pricing (1): the 'equity' spread
Loan pricing (2): credit risk and credit provisions
Securitization
Value creation: a summary
The control of interest rate risk (1): the repricing gaps
The control of interest rate risk (2): the simulation model
Forwards and financial futures
The control of interest rate risk (3): the value of equity at risk
The control of liquidity risk
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Asset and liability management: an art, not a science