Bank asset and liability management : strategy, trading, analysis /
| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Singapore :
Wiley,
2007.
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| Subjects: |
Table of Contents:
- 1. Bank business and bank capital
- 2. Financial statements and ratio analysis
- 3. The money markets
- 4. The bond instrument
- 5. Asset-liability management I
- 6. Asset-liability management II
- 7. ALM trading principles
- 8. Asset-liability management III : the ALCO
- 9. The yield curve
- 10. The determinants of the swap spread and understanding the term premium
- 11. Introduction to relative spread analysis
- 12. Repo instruments
- 13. Money market derivatives
- 14. Interest-rate swaps and overnight-index swaps
- 15. Hedging using bond futures contracts
- 16. Credit risk and credit derivatives
- 17. Value-at-risk (VaR) and credit VaR
- 18. Introduction to securitisation
- 19. Structured, synthetic and repackaged funding vehicles
- 20. Mortgage-backed securities and covered bonds
- 21. Asset-backed securities
- 22. Collateralised debt obligations
- 23. Synthetic collateralised debt obligations
- 24. Synthetic mortgage-backed securities
- 25. Structured investment vehicles
- 26. Bank regulatory capital and the Basel rules
- 27. A primer of Basel II
- 28. Funding and Treasury procedures for banking corporations
- 29. Applications software and spreadsheet models
- Appendix : Financial markets arithmetic.