Bank Asset and Liability Management: Strategy, Trading, Analysis (Wiley Finance) [Hardcover]

Moorad Choudhry (Author)

Book Description

Series: Wiley Finance | Publication Date: April 13, 2007

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.

Editorial Reviews

From the Inside Flap

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.

From the Back Cover

"Again, Moorad Choudhry takes his readers beyond the older books in the market that simply list a string of facts, and into a world of highly practical and up-to-the-minute concepts and strategies.  Bank asset-liability management is about knowing when and how to use all the tools available…This book tackles the whole spectrum." —Peter Eisenhardt, Head of Short Term Fixed Income Origination, Debt Capital Markets, Bank of America, N.A.

“Like the author’s book The Bond and Money Markets:Strategy, Trading, Analysis, this is again a superb example how a financial book should be written.... The book comes highly recommended.” —Tibor Szigeti , Fixed Income Analytics, Bloomberg L.P., London

"An informative account of banking ALM from the point of view of the market practitioner.” —Shahid Ikram, Head of UK Sovereign bonds and G7 hedge fund, Morley Fund Management LT

“A highly readable text which serves as an essential primer for both market practitioners and academics alike to help understand the rapidly evolving risk management techniques used by Treasury and Money Market desks.” —Adam Sutton, Head of European Repo, Global Funding Desk, Bank of America, London

"Bank Asset and Liability Management offers a clear, insightful perspective of the global banking and liquidity markets…This book is a great reference tool for all finance professionals. Really, really impressive." —Bhavin Parmar, Securities Finance Trader, ABN Amro Bank N.V., London

“A brilliant and comprehensive account of all the various disciplines that make up the art of bank asset-liability management. A fantastic work! Every bank should have a copy of this book.” —Mohamoud Barre Dualeh, Private Banking Unit, Abu Dhabi Commercial Bank, UAE

“This latest publication is an essential read for anyone involved in the industry. Moorad delivers financial theories in a practical and entertaining package.” —Mark Williams (Director) and Wei Lieh Goh, Hedge Fund Derivatives, KBC Financial Products, London

See all Editorial Reviews

Product Details

• Hardcover: 1440 pages
• Publisher: Wiley (April 13, 2007)
• Language: English
• ISBN-10: 0470821353
• ISBN-13: 978-0470821350
• Product Dimensions: 8.9 x 6.4 x 2.9 inches
• Shipping Weight: 4.3 pounds (View shipping rates and policies)
• Average Customer Review: 4.5 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #115,223 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

7 of 8 people found the following review helpful:

4.0 out of 5 stars Great practitioner's guide, February 24, 2009

By 

Luis R. Perez "L.P." (New York, NY United States) - See all my reviews

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This review is from: Bank Asset and Liability Management: Strategy, Trading, Analysis (Wiley Finance) (Hardcover)

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!

3 of 3 people found the following review helpful:

5.0 out of 5 stars Essential Reading for every Market Practitioner, August 30, 2010

By 

A Courtney - See all my reviews

This review is from: Bank Asset and Liability Management: Strategy, Trading, Analysis (Wiley Finance) (Hardcover)

"Bank Asset and Liability Management" builds on the brilliant book "The Bond & Money Market, Strategy, Trading, Analysis" also by Professor Choudhry, by providing even more examples of actual trades and situations. His books are not written to drown people with Mathematics, but actually provide real examples in a clear and concise manner. Both books have a very easy to follow format, though with the Bloomberg Screen shots and CD provided in this book it is probably the one to choose. Every postgrad course on a Banks Treasury function should consider this book as their text, and at the same time, every practitioner should have a copy of this book on their desk .... I can't understand why more books aren't like this .... simple, explanatory and practical!

1 of 2 people found the following review helpful:

5.0 out of 5 stars Every bank should have a copy of this book, September 14, 2009

By 

L. Hurrell - See all my reviews
(REAL NAME)   

This review is from: Bank Asset and Liability Management: Strategy, Trading, Analysis (Wiley Finance) (Hardcover)

This book is the complete reference and toolkit for all commercial and investment bank risk managers and board members. The section on asset-liability management is excellent and provides a step-by-step guide on to how to set up the ALM function, how to manage liquidity risk reporting and the templates to use. In fact, the failure of the US and European banking sector in 2008 was due to many of them not following the fundamental precepts laid out in Professor Choudhry's book. Other useful features of the book are a user's guide to hedging both credit and interest-rate risk, and a very handy summary of bank regulatory capital rules. Highly recommended.