The handbook of ALM in banking : managing new challenges for interest rates, liquidity and the balance sheet

ALM in the context of enterprise risk management / Koos Timmermans and Wessel Douma -- Bank Capital and Liquidity / Marc Farag, Dan Nixon, and Damian Harland -- The new Basel standards on IRRBB and their implications on ALM / Roberto Virreira -- Measuring and Managing Interest Rate Risk and Basis Risk / Giovanni Gentili and Nicola Santini -- The Modelling of Non Maturing Deposits / George Solellis -- Modelling Non Maturing Deposits with Stochastic Interest Rates and Credit Spreads / Andreas Bohn -- Managing Interest Rate Risk for Non Maturing Deposits / Marije Elkenbracht-Huizing and Bert-Jan Nauta -- Replication of non-maturing products in a low interest rate environment / Michael Schürle and Florentina Paraschiv -- Managing Mortgage Prepayment Risk on the Balance sheet / Dick Boswinkel -- Considerations for ALM in low and negative interest rate environments / Thomas Becker, Raphael Bulut, Steve Uschmann -- Credit Spreads / Raquel Bujalance, Oliver Burnage -- Hedge Accounting / Bernhard Wondrak -- Supervisory views on liquidity regulation, supervision and management / Patrick de Neef -- Measuring and Managing Liquidity and Funding Risk / Lennart Gerlagh and Marc Otto -- Managing Reserve Assets / Christian Buschmann -- Instruments for Secured Funding / Federico Galizia, Giovanni Gentili -- Asset Encumbrance / Daniela Migliasso -- Capital Management/ Ralf Leiber -- A Global Perspective on Stress Testing / Bernhard Kronfellner, Stephan Suess and Volker Vonhoff -- Reverse Stress Testing: Linking Risks, Earnings, Capital and Liquidity - A Process-orientated Framework and Its Application to Asset-Liability Management / Michael Eichhorn and Philippe Mangold -- XVAs and the holistic management of financial resources / Massimo Baldi, Francesco Fede and Andrea Prampolini -- Optimal Funding Tenors / Rene Reinbacher -- Funds Transfer Pricing in the New Normal / Robert Schäfer, Pascal Vogt, Peter Neu -- Balance-sheet Management with Regulatory Constraints / Andreas Bohn, Paolo Tonucci