Asset Liability Management Optimisation : A Practitioner's Guide to Balance Sheet Management and Remodelling

Cover -- Title Page -- Copyright -- Contents -- Foreword -- About the Author -- Introduction -- Chapter 1 ALM of the Banking Book -- The Role of Asset Liability Management in Commercial banks -- Overview of Financial Risks Existing in the Banking Book -- Regulatory Requirements - Basel III -- Capital Requirements According to Basel III/CRD IV -- Selective Review of the Literature Related to ALM and Integrated Management of the Interest Rate Risk and Liquidity Risk in Commercial Banks -- Chapter 2 Methods of Measurement and Management of the Interest Rate Risk and Liquidity Risk -- Interest Rate Risk in the Banking Book - Measurement and Management -- Exposure to Short‐Term Interest Rate Risk - Maturity Gap Analysis -- Maturity Gap Analysis from the Economic Value Perspective -- Liquidity Risk in the Banking Book - Measurement and Management -- Short‐Term Liquidity Management Principles -- Medium Long‐Term Liquidity - The Principles of Structural Liquidity Management -- The Role of Funds Transfer Pricing in Banks -- Pricing of Different Products in the Banking Book -- Behaviouralisation Concept in FTP -- Chapter 3 Customer Behaviour and Its Impact on Interest Rate and Liquidity Risk -- Significance and Impact of Behavioural Issues in the Banking Book -- Modelling of Customers' Deposits - Liabilities Side -- Balance Sensitivity Modelling -- Modelling of Loans with Early Redemption Optionality - Assets Side -- Statistical Prepayments -- Financial Prepayments -- Chapter 4 Formulation of the Optimisation Process and Articulation of the Decision Model -- The Optimisation Method Applied to the Banking Book -- Introduction of the Optimisation Concept -- Definition of the Initial Banking Book Profile -- Building the Objective and Constraint Functions in the Optimisation Process -- The Importance of Model Sensitivity Analysis.