Bank Asset and Liability Management: Strategy, Trading, Analysis
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 i…
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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.
1This 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.
2A good handbook, initially recommended to me by a seasoned Treasury Risk Manager. I found it a good starting point for someone starting out in the treasury, and to understand the “under the hood” building components of a treasury. ALCO, Basics of building a Liquidity portfolio, the interaction between the banking layers, and so on have been covered, albeit as a primer and one can build on the knowledge base. This helps anyone getting into the role of supervising the treasury and risk associated. The in CD ROM that accompanies the book is a good resource to start understanding concepts in excel, with a whole chapter allocated to that, I found it very useful. Cubic spline, OAS technique etc are described in the software. A good starter book, I would recommend for the serious Treasury professional at less than 100USD, a good price.
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