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Asset Liability Management Optimisation - (Wiley Finance) by Beata Lubinska (Hardcover)

Asset Liability Management Optimisation - (Wiley Finance) by  Beata Lubinska (Hardcover) - image 1 of 1
Asset Liability Management Optimisation - (Wiley Finance) by  Beata Lubinska (Hardcover) - image 1 of 1
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About this item


Number of Pages: 240

Genre: Business + Money Management

Sub-Genre: Finance

Series Title: Wiley Finance

Format: Hardcover

Publisher: Wiley

Book theme: General

Author: Beata Lubinska

Language: English

Street Date: March 2, 2020
TCIN: 79625973
UPC: 9781119635482
Item Number (DPCI): 247-39-7926


Praise for Asset Liability Management Optimisation

'This book is a key reference for Treasury professionals at financial institutions. Beata Lubinska has produced an innovative book that covers in a practical way the latest trends in asset liability management.'
--Juan Ramirez, Deloitte LLP

'Asset Liability Management Optimisation is a classic reference book for bankers like me. I have worked in the banking sector - predominantly in risk management and internal audit - for almost 20 years and I am very happy to endorse this book. Researchers, students and banking professionals will find it helpful in understanding liquidity risk management and balance sheet management. I hope Dr. Beata Lubinska would write more books periodically as she is an expert on the subject matter and has adequate expertise and industry experience in banking and consultancy and assurance services. Definitely her experience in Big4 and banking has made this book a very valuable reference material.'
--Harish Nair, Senior Manager, National Bank Oman

Optimise your banking book with a quantifiable approach

Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modelling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimisation method to help maximise asset return and minimise funding cost in the banking book.

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 optimisation model for minimisation 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
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