The Handbook of Asset/Liability Management: State-of-Art Investment Strategies, Risk Controls and Regulatory Required [Hardcover]

Frank Fabozzi (Author), Atuso Konishi (Author)

Book Description

Series: Bankline Publication | Publication Date: October 1, 1995

Completely revised and updated, the Handbook of Assetiability Management helps you keep your protfolio in line and market risk under control. This reference includes; The benefits from risk management; Asset securitization; Measuring interest rate and yield curve risk; Using OAS to implement value at risk balance sheet management; Hedging with derivatives; Implementing controls for managing derivative positions.

Editorial Reviews

About the Author

Frank J. Fabozzi is adjunct professor of finance at Yale University's School of Management. He is the author, co-author, or editor of literally dozens of titles on a plethora of investing topics.

Product Details

• Hardcover: 506 pages
• Publisher: McGraw-Hill; 2 edition (October 1, 1995)
• Language: English
• ISBN-10: 1557388008
• ISBN-13: 978-1557388001
• Product Dimensions: 9 x 6.1 x 1.4 inches
• Shipping Weight: 1.8 pounds
• Average Customer Review: 3.8 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #1,750,949 in Books (See Top 100 in Books)

More About the Author

Frank J. Fabozzi is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is a Chartered Financial Analyst and earned a doctorate in economics from the City University of New York.

Customer Reviews

Most Helpful Customer Reviews

12 of 12 people found the following review helpful:

4.0 out of 5 stars Classical and Comprehensive of traditional ALM, December 25, 2000

By 

Sang-Hyun Park (Seoul Korea) - See all my reviews

This review is from: The Handbook of Asset/Liability Management: State-of-Art Investment Strategies, Risk Controls and Regulatory Required (Hardcover)

This book can serve you as the authoritive summary of the traditional ALM issues and techniques. It doesn't only describe the concept we should consider, but also educate the details of the ALM tools. Though this book doesn't deal with hot issues such as VaR and stochastic term structure model, it contains the essential ALM theory and practical technique you must know before diving into the frontier of ALM.

4 of 4 people found the following review helpful:

3.0 out of 5 stars Handbook on bank asset liability management, August 2, 2005

By 

Ethan M. Heisler "bank expert" (New York, New York) - See all my reviews
(REAL NAME)   

This review is from: The Handbook of Asset/Liability Management: State-of-Art Investment Strategies, Risk Controls and Regulatory Required (Hardcover)

This is a good primer but out of date in 2005. Since it's last printing, banks have been burdened with SFAS 133 which substantially changes the rules of the road for hedging assets and liabilities. An updated version certainly needs to tackle this challenge. Also, banks have expanded the types of assets they will buy, such as CMBS, whole loans, and raw loans. On the liability side, structured financing has become a critical tool in a bank's ALCO toolkit.

3 of 3 people found the following review helpful:

4.0 out of 5 stars Covers a lot of ground on ALM, May 28, 2003

By 

Gaetan Lion - See all my reviews
(TOP 1000 REVIEWER)    (REAL NAME)   

This review is from: The Handbook of Asset/Liability Management: State-of-Art Investment Strategies, Risk Controls and Regulatory Required (Hardcover)

Chapters are written by different authors. So, they vary in depth and difficulty. Some chapters are very technical, some are easier to read. But, the content is always very solid. Studying this book will give you a strong overall knowledge of ALM.