Asset-Liability and Liquidity Management - by Pooya Farahvash (Hardcover)

About the Book

"Asset-Liability and Liquidity Management is a quantitative finance book, focused in the areas of Asset-Liability Management (ALM), Liquidity Risk and Funds Transfer Pricing (FTP), for bank, investment bank, hedge funds and investment professionals. It explains basic concepts and covers fundamentals of analytical finance in early chapters, and then follows with a comprehensive discussion of different financial valuation models and techniques for a wide range of products. Using fundamentals covered in earlier chapters, the book then focuses on two pillars of asset-liability management: economic value of equity and net interest income and explains them in rich detail. Concepts of liquidity risk and funds transfer pricing are each explained thoroughly in their own chapters. Since many of the subjects discussed in the book are analytical and based on statistical concepts, an Appendix is added to the end of the book to cover basic probability and statistics topics to promote a complete understanding of these topics applied to asset-liability and liquidity risk management. The book introduce the concept of Economic Value eof Equity (EVA), and explains various methods to exam the impact of change in market conditions on EVE of a financial company. In addition, it exams Funds transferring pricing (FTP) in detail, first introducing the basic concepts of FTP and then explores two major approaches in FTP, the pool method and match maturity method, for fixed-rate, floating-rate and non-maturing products,"--

Book Synopsis

Asset-Liability and Liquidity Management distils the author's extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author's own experience in the industry.

The author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses.

Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including:

• The fundamentals of analytical finance
• Detailed explanations of financial valuation models for a variety of products
• The principle of economic value of equity and value-at-risk
• The principle of net interest income and earnings-at-risk
• Liquidity risk
• Funds transfer pricing

A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.

From the Back Cover

Learn the essentials of Asset-Liability Management, Liquidity Risk, and Funds Transfer Pricing

Many financial institutions and professionals must familiarize themselves with numerous concepts to successfully optimize risk management. ALM, FTP, and Liquidity Risk are among the more significant. It's specifically important to understand the step-by-step process of executing ALM analysis. Balance sheet risk management remains a core topic for everyone from internal risk management teams to external regulators.

Luckily, Asset-Liability and Liquidity Management makes understanding these topics easier than ever. Author Pooya Farahvash has substantial experience applying them in his own career. Having worked in asset-liability management and modeling at major financial institutions, Dr. Farahvash has the expertise necessary to explain everything a reader needs to know about these concepts, as well as why they are important and how they may be applied in a practical setting.

It's crucial that risk management professionals at financial institutions understand these ideas. Asset-Liability and Liquidity Management ensures its readers do.

About the Author

POOYA FARAHVASH is vice president of Treasury Modeling and Analytics at American Express Company overseeing development of models used in ALM, liquidity risk management, stress testing, and deposit products. He previously worked at investment bank Jefferies in liquidity risk management and at CIT Group in asset-liability management. His experience in the banking industry is focused in treasury department activities, specifically in areas of interest rate risk, liquidity risk, asset-liability management, deposit modeling, and economic capital. Dr. Farahvash is also an adjunct instructor at New York University, teaching analytical courses. He received his PhD degree in Industrial and Systems Engineering and MS degree in Statistics both from Rutgers University, New Jersey. He currently lives in New York City.