Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Handbook of asset and liability management [[electronic resource] ] : from models to optimal return strategies / / Alexandre Adam
| Handbook of asset and liability management [[electronic resource] ] : from models to optimal return strategies / / Alexandre Adam |
| Autore | Adam Alexandre |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, 2007 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley finance |
| Soggetto topico | Asset-liability management |
| ISBN |
1-119-20913-7
1-282-34287-8 9786612342875 0-470-72411-0 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Handbook 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
3.1 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 6 "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 9.1 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 11.4 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 13.5 Prepayment monitoring |
| Record Nr. | UNINA-9910146102503321 |
Adam Alexandre
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Handbook of asset and liability management : from models to optimal return strategies / / Alexandre Adam
| Handbook of asset and liability management : from models to optimal return strategies / / Alexandre Adam |
| Autore | Adam Alexandre |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, 2007 |
| Descrizione fisica | 1 online resource (572 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley finance |
| Soggetto topico | Asset-liability management |
| ISBN |
1-119-20913-7
1-282-34287-8 9786612342875 0-470-72411-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Handbook 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
3.1 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 6 "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 9.1 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 11.4 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 13.5 Prepayment monitoring |
| Record Nr. | UNINA-9910825140303321 |
|
Adam Alexandre
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||