LEADER 05383nam 22006734a 450 001 9910146102503321 005 20200520144314.0 010 $a1-119-20913-7 010 $a1-282-34287-8 010 $a9786612342875 010 $a0-470-72411-0 035 $a(CKB)1000000000724637 035 $a(EBL)470404 035 $a(OCoLC)609849269 035 $a(SSID)ssj0000298132 035 $a(PQKBManifestationID)11947389 035 $a(PQKBTitleCode)TC0000298132 035 $a(PQKBWorkID)10361362 035 $a(PQKB)10221261 035 $a(Au-PeEL)EBL470404 035 $a(CaPaEBR)ebr10300600 035 $a(CaONFJC)MIL234287 035 $a(CaSebORM)9780470034965 035 $a(MiAaPQ)EBC470404 035 $a(PPN)260725870 035 $a(EXLCZ)991000000000724637 100 $a20070816d2007 uy 0 101 0 $aeng 135 $aurunu||||| 181 $ctxt 182 $cc 183 $acr 200 10$aHandbook of asset and liability management$b[electronic resource] $efrom models to optimal return strategies /$fAlexandre Adam 205 $a1st edition 210 $aChichester, England ;$aHoboken, NJ $cJohn Wiley & Sons$d2007 215 $a1 online resource (572 p.) 225 1 $aWiley finance 300 $aDescription based upon print version of record. 311 $a0-470-03496-3 320 $aIncludes bibliographical references (p. [533]-539) and index. 327 $aHandbook of Asset and Liability Management; Contents; Preface; Acknowledgments; About the author; PART I INTRODUCTION; 1 The History of ALM; 1.1 The history of the banking industry from antiquity to the Middle Ages; 1.2 The modern banking industry and the history of ALM; 1.3 The history of the insurance industry and ALM; 1.4 The history of other businesses and ALM; 2 What is Asset and Liability Management Today?; 2.1 ALM and the banking industry; 2.2 Other general ALM questions; PART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING; 3 Balance Sheet Presentation 327 $a3.1 General balance sheet presentation3.2 A/L manager's balance sheet presentation; 3.3 Banking Book and Insurance Book; 3.4 Income statement and statement of cash flows; 4 "Accrued Accounting" for Interest Rate Instruments Versus "Marked-to-Market" Accounting; 4.1 General principles; 4.2 Accrued accounting examples; 5 IFRS and IAS Accounting; 5.1 IFRS, international organizations and rule presentation; 5.2 IAS 39; 5.3 Financial disclosures; 5.4 IFRS and insurance; 5.5 Other IFRS specificities; 5.6 Impact of IFRS on ALM and criticism of IFRS 327 $a6 "Economic Accounting": Fair Value and Full Fair Value 7 Internal Transfer Pricing or Fund Transfer Pricing (FTP); 7.1 Principles; 7.2 Advanced transfer pricings including credit risk and expected return on economic capital; 7.3 The inclusion of implicit options inclusion in the "contract by contract" FTP rules and commercial department arbitrage opportunity; 7.4 FTP rules based on the "stock" and based on the "flows"; 7.5 Examples of FTP rules; 7.6 Perequations; 8 ALM as a Profit Centre; 8.1 One profit centre for one financial risk; 9 Optimal Organization of an ALM Team 327 $a9.1 The usual ALM organization 9.2 The objectives of ALM; 9.3 ALCO: the ALM committee; 9.4 The different ALM teams; PART III BALANCE SHEET ITEMS AND PRODUCTS MODELLING; 10 Behavioural Modelling Principles; 10.1 The constitution of databases; 10.2 Event driven modelling; 10.3 Modelling the strategy of the company; 10.4 Expert advice; 10.5 Model backtesting; 11 Deposits and Savings; 11.1 Deposits, monetary aggregates, money supply and macroeconomics; 11.2 Demand deposit accounts; 11.3 Saving accounts: regulated and non-regulated savings versus super-savings 327 $a11.4 Demand deposits models in the literature 11.5 Deposit modelling: the solution through an approach based on customer behaviour modelling; 11.6 Deposit modelling through a customer behaviour modelling based approach: representation in risk indicators and FTP; 12 Loans; 12.1 Different types of loan; 12.2 Different definitions and formulae; 13 Prepayments; 13.1 The origins of the prepayment phenomenon; 13.2 The constitution of the database for prepayment modelling; 13.3 Different models: historical database-based approaches and MBS-based approaches; 13.4 Prepayment scoring 327 $a13.5 Prepayment monitoring 330 $aIn the Handbook of Asset and Liability Management: From Models to Optimal Return Strategies, Alexandre Adam presents a comprehensive guide to Asset and Liability Management. Written from a quantitative perspective with economic explanations, this book will appeal to both mathematicians and non-mathematicians alike as it gives an operational view on the business. Well structured, this book includes essential information on Balance Sheet Items and Products Modeling, Tools for Asset and Liability Managers, as well as Optimal Returns Strategies. Explaining, in detail, all the written and un 410 0$aWiley finance series. 606 $aAsset-liability management 615 0$aAsset-liability management. 676 $a658.15/5 700 $aAdam$b Alexandre$0137624 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910146102503321 996 $aHandbook of asset and liability management$92287621 997 $aUNINA