Handbook of Asset and Liability Management: From Models to Optimal Return Strategies - Couverture rigide

Adam, Alexandre

Couverture rigide

ISBN 10 : 0470034963 ISBN 13 : 9780470034965

Editeur : John Wiley & Sons Ltd, 2007

Synopsis

Book by Adam Alexandre

A propos du livre

Quatrième de couverture :

The Handbook of Asset & Liability Management: From Models to Optimal Return Strategies is a Comprehensive resource for Asset and Liability Management (ALM) Professionals, providing the very latest global coverage of the topic.

Starting with a look at the history of Asset and Liability Management and the current climate, the book then examines a range of accounting and auditing obligations, including IFRS and balance sheet presentation. Balance sheet items and products modelling are then explained in detail as well as the entire associated range of financial and non–financial risks. As well as the practical issues encountered by ALM managers, the Handbook of Asset Liability Management also considers the growing quantitative aspects of the role, looking at a range of technical tools and applications including market simulations, stochastic calculations, delta equivalent computations, and traditional and non–traditional statistical tools.

The book then discusses capital requirements within the ALM context, notably the impacts of Basel II and solvency II and economic capital indicators. The final section of the book explains optimal return strategies, looking at risk perfect hedging, limits policies, income smoothing strategies and economic value management.

The accompanying CD ROM features demonstrations of some basic ALM problems such as ALM Delta Equivalent computation; FTP computation and ALM risk indicators computation. It also includes modelling examples such as demand deposits, savings and prepayment modelling; and practical examples taken from a simplified retail Banking ALM framework.

Biographie de l'auteur :

ALEXANDRE ADAM is a French Asset and Liability Manager born in 1973 in Reims, France. He has a Statistician and Economist Post–graduate Diploma of Ecole Nationale de la Statistique et de l Administration Economique, Malakoff, France. In 1993, he studied Engineering at Ecole Polytechnique, Palaiseau, the major French Grande Ecole , where he was awarded an Advanced Graduate Degree. Alexandre also has a Masters degree in Mathematics from University Paris–VI.
Since 1997, he has worked for BNP Paribas, in the ALM and Treasury Department, initially in charge of the optional interest rate risks in the Balance Sheet before working as a Front Office market operator. Alexandre is now responsible for the Financial Models Team, where his team contributes to the ALM models and indicators such as Stress Tests, economic capital, behavioural models estimation, retail credit risk, implementation and calculation of the Banking Book Value at Risk and Equity Allocation in the Banking Book.
Alexandre is an actuary of the French Institute of Actuaries and is a member of the scientific committee of AFGAP, the French Association of Asset and Liability Managers. Since 2005, Alexandre has also been a Master Degree lecturer at University Paris XIII.
Alexandre has published many articles on ALM in specialised journals.

À propos de cette édition

• Éditeur: John Wiley & Sons Ltd
• Date d'édition: 2007
• ISBN 10: 0470034963
• ISBN 13: 9780470034965
• Reliure: Relié
• Nombre de pages: 576