Asset & Liability Management
The Banker's Guide to Value Creation & Risk Control
By Jean Dermine & Youssef Bissada
Distributed by Trans-Atlantic Publications
Financial Times / Prentice Hall
188 Pages, Illustrated
$195.00 Hardcover plus CD-ROM
Every banker who is in touch with their industry, and keen to progress, needs to know how banking activities contribute to value creation and how to ensure risks are controlled.
They need to know how to evaluate performances on a risk-adjusted basis. And how to price loans to ensure they create value.Bankers' performance is increasingly evaluated against their value creation and so it is very much in their interests to be proficient in Asset & Liability Management (ALM), the control of value creation and risk.
This book is a general overview by a world expert in ALM and is a concise and crystal clear presentation of the essential concepts. It is packaged with a step-by-step tutorial CD with exercises, solutions and an attractive visual focus. It is unique in covering both value creation and risk control (most other books cover only risk control) and the new edition will include new chapters on the two new topics it is now essential for bankers to know about: Basel II and credit derivatives.
Software - How to Get Started
Chapter 1. Banking Services and Balance Sheet
Chapter 2. Value Creation for Shareholders
Chapter 3. ROE Decomposition
Chapter 4. Profit Centre Management
Chapter 5. Profit Allocation and Transfer Pricing for Deposits and Loans
Chapter 6. The Capital Adequacy Regulation
Chapter 7. Basel II Regulation
Chapter 8. Loan Pricing (1), the 'Equity' Spread
Chapter 9. Loan Pricing (2), Credit Risk and Credit Provisions
Chapter 10. Securitisation
Chapter 11. Credit Derivatives
Chapter 12. Value Creation, a Summary
Chapter 13. The Control of Interest Rate Risk (1), the Repricing Gaps
Chapter 14. The Control of Interest Rate Risk (2), the Simulation Model
Chapter 15. Forward and Financial Futures
Chapter 16. The Control of Interest Rate Risk (3), the Value of Equity at Risk
Chapter 17. The Control of Liquidity Risk
Chapter 18. Options
Chapter 19. Asset & Liabililty Management: An Art, not a Science
Chapter 20. Answers to Exercises
Meeting Software Problems
- Basel II explained: this book demystifies the new set of capital regulations, which must be followed from 2007.
- This revised edition now includes a chapter on credit derivatives - one of the most important new financial innovations of the last 5 years, allowing banks to buy insurance against credit risk.
- This guide to ALM is second to none. It presents ALM tools in a short, crisp and clear way - written for generalists by world experts.
Jean Dermine is Professor of Banking and Finance at INSEAD and Director of the Center for International Financial Services. He is a world expert on ALM with more than 20 years' experience of research, consulting and the executive education of bankers around the world. He is also co-author of the computer-based simulation ALCO Challenge.
Youssef Bissada is founder and managing director of Bissada Management Simulations, a firm specialising in the development of computer-based learning tools.
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