Table of Contents:
“…PrefaceForewordAcknowledgmentsAbout the authorPART I INTRODUCTION1 The history of ALM1.1 The history of the banking industry from antiquity to the Middle Ages1.2 The modern banking industry and the history of ALM1.3 The history of the insurance industry and ALM1.4 The history of other businesses and ALM2 What is asset and
liability management today?2.1 ALM and the banking industry2.2 Other general ALM questionsPART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING3 Balance sheet presentation3.1 General balance sheet presentation3.2 A/L manager's balance sheet presentation3.3 Banking Book and Insurance Book3.4 Income statement and statement of cash flows4 'Accrued accounting" for interest rate instruments versus "marked-to-market" accounting4.1 General principles4.2 Accrued accounting examples5 IFRS and IAS accounting5.1 IFRS, international organizations and rule presentation5.2 IAS 395.3 Financial disclosures5.4 IFRS and insurance5.5 Other IFRS specificities5.6 Impact of IFRS on ALM and criticism of IFRS6 "Economic accounting": fair value and full fair value7 Internal transfer pricing or fund transfer pricing (FTP)7.1 Principles7.2 Advanced transfer pricings including credit risk and expected return on economic capital7.3 The inclusion of implicit options in the contract by FTP contract rules and commercial department arbitrage opportunity7.4 FTP rules based on the "stock" and based on the "flows"7.5 Examples of FTP rules7.6 Perequations8 ALM as a profit centre8.1 One profit centre for one financial risk9 Optimal organization of an ALM team9.1 The usual ALM organization9.2 The objectives of ALM9.3 ALCO: the ALM committee9.4 The different ALM teamsPART III BALANCE SHEET ITEMS AND PRODUCTS MODELLING10 Behavioural modelling principles10.1 The consitution of databases10.2 Event driven modelling10.3 Modelling the strategy of the company10.4 Expert advice10.5 Model backtesting11 Deposits and savings11.1 Deposits, monetary aggregates, money supply and macroeconomics11.2 Demand deposit accounts11.3 Saving accounts: regulated and non-regulated savings versus super-savings11.4 Demand deposits models in the literature11.5 Deposit modelling: the solution through an approach based on customer behaviour modelling11.6 Deposit modelling through a customer behaviour modeling based approach: representation in risk indicators and FTP12 Loans12.1 Different types of loan12.2 Different definitions and formulae13 Prepayments13.1 The
origins of the prepayment phenomenon13.2 The constitution of the database for prepayment modelling13.3 Different models: historical database-based approaches and MBS-based approaches13.4 Prepayment scoring13.5 Prepayment monitoring14 Other examples of products needing behavioural modelling14.1 Pipeline risk14.2 Margin delay effects such as "whistle effects"14.3 Other volume effects options15 Examples of products partially correlated with financial markets15.1 Presence of correlation between the cash flows and financial markets: examples of credit card15.2 Costs and commissions correlation with financial markets15.3 Examples of embedded options16 New production modelling16.1 New contract production16.2 Commission and cost modelling16.3 Perequation modelling16.4 Future strategies modelling17 Insurance products17.1 Unit of account contracts17.2 Mutual funds18 Hedging instruments18.1 Derivatives18.2 Bond strategies18.3 Mortgage Backed SecuritiesPART IV RISK MANAGEMENT FOR ASSET AND
LIABILITY MANAGERS19 Financial risks19.1 Liquidity risk19.2 Credit risk19.3 Interest rate risk19.4 Inflation risk19.5 Currency risk19.6 Corporate stock market risk19.7 Real estate risk/property risk19.8 Other financial risks20 Non-financial risks20.1 Operational risks20.2 Model risks20.3 Business risk20.4 Risk correlations20.5 "Accounting risk": the risk representation depends on the accounting scheme!…”
Call Number: HG1615.25 .A33 2007
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