In the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and unwritten rules of Asset Liability Management, using up-to-date models and the latest findings, the Handbook of Asset and Liability Management is an essential tool for Asset and Liability Managers both for the present day and the future.
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Editorial Reviews
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"If you are looking for the latest global coverage on asset and liability management, this book is an excellent resource." (Pensions World, January 2008)
From the Inside Flap
"This book is a comprehensive and authoritative presentation of ALM techniques and issues. It covers modeling and practical aspects of ALM and greatly benefits for the author's experience within the ALM group of BNP-Paribas. I think anyone from the student involved in a risk management degree to the skilled practitioner will benefit from this useful reading."
—Professor Jean-Paul Laurent, Professor of Finance, ISFA Actuarial School, University of Lyon
—Professor Jean-Paul Laurent, Professor of Finance, ISFA Actuarial School, University of Lyon
"Alexandre Adam has provided an excellent and detailed treatment of Asset and Liability Management. This Handbook will be a very useful and complete guide to practitioners inasmuch as it analyses in a coherent framework the following three aspects: accounting (with respect to IFRS and IAS), organisation and regulation (for both Basel II and Solvency II). Moreover it integrates the ALM with the recent Risk Management techniques for the more relevant sources of risk (credit, liquidity, operational risks)."
—Professor Domenico Sartore, Department of Economical Sciences, Universita' Ca' Foscari di Venezia
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4 of 4 people found the following review helpful:
1.0 out of 5 stars
Complete waste of time and money,
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This review is from: Handbook of Asset and Liability Management: From Models to Optimal Return Strategies (The Wiley Finance Series) (Hardcover)
This book reads very much like the author copied and pasted a set of PowerPoint presentations into book form. The presentation is incoherent, with a typical section consisting of several disjoint short sentences. To top it off, the author is not a native speaker, so the book is filled with grammatical errors that make for a rather annoying read. While I'm not sure which other book are available on this topic, this one is certainly not worth the paper it's printed on.
1 of 3 people found the following review helpful:
5.0 out of 5 stars
ALM BIBLE: the latest global coverage on asset and liability management,
This review is from: Handbook of Asset and Liability Management: From Models to Optimal Return Strategies (The Wiley Finance Series) (Hardcover)
A must-have encyclopaedia on ALM modelling!
This is a great technical manual for ALM practitioners. The content is always very solid (Balance sheet options modelling, accounting, regulatory requirements...) This book can also be used for a graduate level/PhD course. Studying this book will give you a strong overall knowledge of ALM. Adam's book of ALM lessons can possibly calm us in these crisis times, and also help us in decoding any unfolding mismatches!
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Inside This Book
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Key Phrases - Statistically Improbable Phrases (SIPs):
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commercial department, banking book, normalized equity, trading book, libor market model, capital manager, balance sheet presentation, swap market model, fixed income department, average total amount, economic capital computation, economic capital indicators, statistical prepayments, economic value sensitivity, penta equivalent, net open currency position, income smoothing strategies, correla equivalent, economic value variation, liquidity schedule, capital banking book, bps shock, financial prepayments, demand deposit amount, curve reconstitution Key Phrases - Capitalized Phrases (CAPs): (learn more)
Financial Risks, Towards Economic Capital Indicators, Capital Book, Central Bank, Internal Transfer Pricing, Fund Transfer Pricing, Total Assets, Total Liabilities, Monte Carlo, The Basis of Interest Rate Modelling, Basel Committee, Technical Tools Useful, Linear Gaussian Model, Treasury Department, Dow Jones, October November, Finance Department, Savings Rater, United States, Res Commercial, Flow Schedule, Off Balance Sheet, Office of Thrift Supervision, Behavioural Modelling Principles, Delta Strategy Income Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
commercial department, banking book, normalized equity, trading book, libor market model, capital manager, balance sheet presentation, swap market model, fixed income department, average total amount, economic capital computation, economic capital indicators, statistical prepayments, economic value sensitivity, penta equivalent, net open currency position, income smoothing strategies, correla equivalent, economic value variation, liquidity schedule, capital banking book, bps shock, financial prepayments, demand deposit amount, curve reconstitution Key Phrases - Capitalized Phrases (CAPs): (learn more)
Financial Risks, Towards Economic Capital Indicators, Capital Book, Central Bank, Internal Transfer Pricing, Fund Transfer Pricing, Total Assets, Total Liabilities, Monte Carlo, The Basis of Interest Rate Modelling, Basel Committee, Technical Tools Useful, Linear Gaussian Model, Treasury Department, Dow Jones, October November, Finance Department, Savings Rater, United States, Res Commercial, Flow Schedule, Off Balance Sheet, Office of Thrift Supervision, Behavioural Modelling Principles, Delta Strategy Income Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Surprise Me!
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