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Advanced Liquidity Risk Models: Asset and Liability Management

Advanced Liquidity Risk Models: Asset and Liability Management

Alexandre Adam

ISBN: 978-1-119-05048-3

Oct 2017

256 pages


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A unique approach to ALM, with practical real-world insight

Advanced Liquidity Risk Models takes a quantitative approach to asset and liability management, providing the latest IAS/IFRS, Basel II and Basel III standards along with technical insights and practical instruction. Unique in both its modelling approach and coverage of the unwritten rules of ALM, this book provides deep insight into this increasingly critical role. From management models and liquidity components to advanced modelling and important tools, this book provides an unprecedented level of guidance with broadly applicable content. Each chapter concludes with additional mathematical content, and includes real-world examples and exercises to demonstrate the practical nature of important concepts. Digital ancillaries include demonstrations of ALM problems including Delta Equivalent, FTP, and risk indicator computations, plus practical examples taken from a simplified retail banking ALM framework.

Asset and Liability Management has taken on new importance since the 2007 subprime crisis, but the complexity of the subject makes a unified direction elusive. This book brings it all together under a quantitative umbrella to provide concrete guidance for anyone in the field.

  • Delve into banking management models and liquidity risk
  • Understand liquidity in internal transfer pricing and profit management
  • Model liquidity risk in demand deposits, savings, prepayment, and more
  • Apply advanced risk modelling to Basel III regulation

Given the responsibility for liquidity risk, interest rate risk, and currency risk, ALM has become a prime driver of bank development strategy. New standards and regulations have pushed for uniformity and global understanding, with liquidity constraints putting pressure on hedging strategy. Advanced Liquidity Risk Models offers a comprehensive, quantitative knowledge base that provides clarity in the face of increasing challenges.