Average Reviews:
(More customer reviews)This is an extensive book written from the practitioner's viewpoint; consequently, it is a lot more useful than a textbook for those looking for real world applications that they may readily implement in their day-to-day. Additionally, the appendixes constitute a great review of tools and techniques for any fixed-income person. My only caution is that there are some mistakes and/or internal inconsistencies in the examples used, where the data in the formulas does not match the information in the discussion, which can make it frustrating to follow. Additionally, if the reader is not proficient in fixed income math and curve building he/she may not be able to ascertain where the errors are. The book is a good introduction to students, but an even better reference source for experienced operators and fixed income number crunchers. Overall, an excellent reference book for the real world practitioner.
P.S. The author has since issue a new revised edition that corrected many of the errors and inconsistencies I mentioned above. The author was graceful enough to establish and exchange of correspondence with me to discuss my comments and more graceful still to send me a copy of the revised book. A class act by any standard!
Click Here to see more reviews about: Bank Asset and Liability Management: Strategy, Trading, Analysis (Wiley Finance)
Banks are a vital part of the global economy, and the essence of banking is asset-liability management (ALM). This book is a comprehensive treatment of an important financial market discipline. A reference text for all those involved in banking and the debt capital markets, it describes the techniques, products and art of ALM. Subjects covered include bank capital, money market trading, risk management, regulatory capital and yield curve analysis.
Highlights of the book include detailed coverage of:
liquidity, gap and funding risk management
hedging using interest-rate derivatives and credit derivatives
impact of Basel II
securitisation and balance sheet management
structured finance products including asset-backed commercial paper, mortgage-backed securities, collateralised debt obligations and structured investment vehicles, and their role in ALM
treasury operations and group transfer pricing.
Concepts and techniques are illustrated with case studies and worked examples. Written in accessible style, this book is essential reading for market practitioners, bank regulators and graduate students in banking and finance.
Includes free CD-ROM that contains software on applications described in the book, including a yield curve model, cubic spline spreadsheet calculator and CDO waterfall model.
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