简介
As institutional shareholders increase pressure on value creation and as central banks around the world are forcing banks to improve their ALM capabilities, the time has come for every banker to master the tools of Asset and Liability Management, and the control of value creation and risk. Written for a general business audience by Jean Dermine, an INSEAD expert, Asset and Liability Management is a complete toolbox for those wishing to get to grips with the subject. Unique in its concise, clear and accessible presentation of the concepts, the book steers clear of complex mathematics and presents the tools in an intuitive and simple way by using modern, visual, educational techniques. The book sheds light on questions such as: - how do the various pieces of the bank puzzle fit with one another? - how does each piece of the bank contribute to value creation? - how does one ensure that risks are being controlled? - how do you evaluate performances on a risk-adjusted basis? - how do you price loans to secure the creation of value? It also includes discussions on profit-centre management, pricing credit risk and loan provisioning, and the management of interest rate and liquidity risks. Threading through the book are a set of exercises with solutions to measure understanding of the concepts as they build on each other. Packaged with the book is a step-by-step tutorial CD-ROM that focuses on visuals, and exercises with built-in solutions. This can be used as a stand-alone self-learning device or as a tool after reading the book to test and reinforce the concepts learnt.
目录
Copyright Dedication
Financial Times Prentice Hall
About the Authors
Acknowledgments
Introduction Objectives
Contents
The learning methods
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1 Token Stage聽1.聽Banking Services and Balance Sheet Flows of funds in banking
Asset and liability management
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1 Token Stage聽2.聽Value Creation for Shareholders Shareholders鈥?investment opportunities
Valuation of bank shares
Managerial rules
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1 Token Stage聽3.聽ROE Breakdown Return on equity (ROE)
Appendix: ROE breakdown
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1 Token Stage聽4.聽Profit Centre Management RAROC, EVA, economic profit
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1 Token Stage聽5.聽Profit Allocation and Fund Transfer Pricing for Deposits and Loans Profitability of deposits and loans: The need for a relevant fund transfer price
The case of deposits
The case of loans Which maturity?
Ask/bid rate and reserve requirement
Managerial rule
Appendix: Reserve requirement and transfer price
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1 Token Stage聽6.聽The Capital Adequacy Regulation, Basel I The 8% BIS ratio History
The capital adequacy regulation
BIS capital
Asset weighting
The market risk amendment
Basel II
Appendix to Stage 6
Weighting system for off-balance sheet items
Derivatives: Forex, interest rate, equity, commodities Current exposure method
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1 Token Stage聽7.聽Loan Pricing (1): The 鈥楨quity鈥?Spread Break-even loan pricing and the 鈥榚quity鈥?spread
Economic capital Economic capital allocation
A new BIS regulation: Basel II
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1 Token Stage聽8.聽The Capital Adequacy Regulation, Basel II Basel II: The Three Pillars
From the Basel I 8% Cooke ratio to the Basel II capital ratio The Basel II capital adequacy regulation
Credit risk weighting
The standardized approach
The internal ratings-based (IRB) approach
Operational risk Standardized approach
Advanced measurement approach (AMA)
Model validation
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1 Token Stage聽9.聽Loan Pricing (2): Credit Risk and Loan-Loss Provisions Credit risk pricing
Measuring loan-loss provisions: 鈥榣end now, lose later鈥?
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1 Token Stage聽10.聽Securitization The securitization process
The economics of securitization
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1 Token Stage聽11.聽Value Creation: A Summary Value creation Section 1.聽Overall bank level
Section 2.聽Profit centre level
Section 3.聽Loan management
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1 Token Stage聽12.聽The Control of Interest Rate Risk (1): The Repricing Gaps Measuring interest rate risk
Bank accounting: Accrual vs. marked-to-market
The repricing bucket (gaps) Reading the repricing bucket
Reporting risk Earnings-at-risk in 鈥榥ormal鈥?times
Earnings-at-risk under 鈥榮tress scenarios鈥?
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1 Token Stage聽13.聽The Control of Interest Rate Risk (2): The Simulation Model Limits to the use of repricing gaps
Simulation model
Garbage in 鈥?garbage out
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1 Token Stage聽14.聽Forwards and Financial Futures Forward contracts
Financial futures
Marking-to-market and margin calls
Payoffs
Hedging repricing gaps with futures
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1 Token Stage聽15.聽The Control of Interest Rate Risk (3): The Economic Value at Risk Bank solvency and the economic value of equity
Duration
The economic value of equity at risk
Two measures of interest rate risk
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1 Token Stage聽16.聽The Control of Liquidity Risk Cash flow gap for 鈥榥ormal time鈥?
Cash flow for 鈥榮tress scenarios鈥?
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1 Token Stage聽17.聽Options Forwards and futures
Options Call option
The put option
Volatility, a new source of risk
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1 Token Stage聽18.聽Credit Derivatives Credit derivatives Credit default swaps (CDS)
Total rate of return swaps (TRORS)
Credit-linked notes (CLN)
Synthetic securitization
Single-name credit default swaps vs. CDS index vs. benchmark CDS index
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1 Token Stage聽19.聽The Aggregation of Risks and Risk Diversification The aggregation of risks, Proposal I
The aggregation of risks, Proposal II A word of caution
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1 Token Stage聽20.聽Asset and Liability Management: An Art, Not a Science The control of profit and value creation Pricing loans
Loan securitization
The control of interest rate risk
The control of liquidity risk
The aggregation of risks
Download Chapter
1 Token Appendix A.聽Software Section 1.聽How to get started?
Section 2.聽Specifications
Section 3.聽Online help
Section 4.聽Navigation
Section 5.聽Printing
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1 Token Appendix B.聽Answers to Exercises Solution to Stage Two
Solution to Stage Three
Solution to Stage Four
Solution to Stage Five
Solution to Stage Six
Solution to Stage Seven
Solution to Stage Eight
Solution to Stage Nine
Solution to Stage Ten
Solution to Stage Twelve
Solution to Stage Thirteen
Solution to Stage Fourteen
Solution to Stage Fifteen
Solution to Stage Sixteen
Solution to Stage Seventeen
Solution to Stage Eighteen
Solution to Stage Nineteen
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1 Token Appendix C.聽Glossary
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1 Token Appendix D.聽References
Financial Times Prentice Hall
About the Authors
Acknowledgments
Introduction Objectives
Contents
The learning methods
Download Chapter
1 Token Stage聽1.聽Banking Services and Balance Sheet Flows of funds in banking
Asset and liability management
Download Chapter
1 Token Stage聽2.聽Value Creation for Shareholders Shareholders鈥?investment opportunities
Valuation of bank shares
Managerial rules
Download Chapter
1 Token Stage聽3.聽ROE Breakdown Return on equity (ROE)
Appendix: ROE breakdown
Download Chapter
1 Token Stage聽4.聽Profit Centre Management RAROC, EVA, economic profit
Download Chapter
1 Token Stage聽5.聽Profit Allocation and Fund Transfer Pricing for Deposits and Loans Profitability of deposits and loans: The need for a relevant fund transfer price
The case of deposits
The case of loans Which maturity?
Ask/bid rate and reserve requirement
Managerial rule
Appendix: Reserve requirement and transfer price
Download Chapter
1 Token Stage聽6.聽The Capital Adequacy Regulation, Basel I The 8% BIS ratio History
The capital adequacy regulation
BIS capital
Asset weighting
The market risk amendment
Basel II
Appendix to Stage 6
Weighting system for off-balance sheet items
Derivatives: Forex, interest rate, equity, commodities Current exposure method
Download Chapter
1 Token Stage聽7.聽Loan Pricing (1): The 鈥楨quity鈥?Spread Break-even loan pricing and the 鈥榚quity鈥?spread
Economic capital Economic capital allocation
A new BIS regulation: Basel II
Download Chapter
1 Token Stage聽8.聽The Capital Adequacy Regulation, Basel II Basel II: The Three Pillars
From the Basel I 8% Cooke ratio to the Basel II capital ratio The Basel II capital adequacy regulation
Credit risk weighting
The standardized approach
The internal ratings-based (IRB) approach
Operational risk Standardized approach
Advanced measurement approach (AMA)
Model validation
Download Chapter
1 Token Stage聽9.聽Loan Pricing (2): Credit Risk and Loan-Loss Provisions Credit risk pricing
Measuring loan-loss provisions: 鈥榣end now, lose later鈥?
Download Chapter
1 Token Stage聽10.聽Securitization The securitization process
The economics of securitization
Download Chapter
1 Token Stage聽11.聽Value Creation: A Summary Value creation Section 1.聽Overall bank level
Section 2.聽Profit centre level
Section 3.聽Loan management
Download Chapter
1 Token Stage聽12.聽The Control of Interest Rate Risk (1): The Repricing Gaps Measuring interest rate risk
Bank accounting: Accrual vs. marked-to-market
The repricing bucket (gaps) Reading the repricing bucket
Reporting risk Earnings-at-risk in 鈥榥ormal鈥?times
Earnings-at-risk under 鈥榮tress scenarios鈥?
Download Chapter
1 Token Stage聽13.聽The Control of Interest Rate Risk (2): The Simulation Model Limits to the use of repricing gaps
Simulation model
Garbage in 鈥?garbage out
Download Chapter
1 Token Stage聽14.聽Forwards and Financial Futures Forward contracts
Financial futures
Marking-to-market and margin calls
Payoffs
Hedging repricing gaps with futures
Download Chapter
1 Token Stage聽15.聽The Control of Interest Rate Risk (3): The Economic Value at Risk Bank solvency and the economic value of equity
Duration
The economic value of equity at risk
Two measures of interest rate risk
Download Chapter
1 Token Stage聽16.聽The Control of Liquidity Risk Cash flow gap for 鈥榥ormal time鈥?
Cash flow for 鈥榮tress scenarios鈥?
Download Chapter
1 Token Stage聽17.聽Options Forwards and futures
Options Call option
The put option
Volatility, a new source of risk
Download Chapter
1 Token Stage聽18.聽Credit Derivatives Credit derivatives Credit default swaps (CDS)
Total rate of return swaps (TRORS)
Credit-linked notes (CLN)
Synthetic securitization
Single-name credit default swaps vs. CDS index vs. benchmark CDS index
Download Chapter
1 Token Stage聽19.聽The Aggregation of Risks and Risk Diversification The aggregation of risks, Proposal I
The aggregation of risks, Proposal II A word of caution
Download Chapter
1 Token Stage聽20.聽Asset and Liability Management: An Art, Not a Science The control of profit and value creation Pricing loans
Loan securitization
The control of interest rate risk
The control of liquidity risk
The aggregation of risks
Download Chapter
1 Token Appendix A.聽Software Section 1.聽How to get started?
Section 2.聽Specifications
Section 3.聽Online help
Section 4.聽Navigation
Section 5.聽Printing
Download Chapter
1 Token Appendix B.聽Answers to Exercises Solution to Stage Two
Solution to Stage Three
Solution to Stage Four
Solution to Stage Five
Solution to Stage Six
Solution to Stage Seven
Solution to Stage Eight
Solution to Stage Nine
Solution to Stage Ten
Solution to Stage Twelve
Solution to Stage Thirteen
Solution to Stage Fourteen
Solution to Stage Fifteen
Solution to Stage Sixteen
Solution to Stage Seventeen
Solution to Stage Eighteen
Solution to Stage Nineteen
Download Chapter
1 Token Appendix C.聽Glossary
Download Chapter
1 Token Appendix D.聽References
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