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Asset-liability and liquidity management / Pooya Farahvash.

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"Asset-Liability and Liquidity Management is a quantitative finance book, focused in the areas of Asset-Liability Management (ALM), Liquidity Risk and Funds Transfer Pricing (FTP), for bank, investment bank, hedge funds and investment professionals. It explains basic concepts and covers fundame...

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Bibliographic Details
Online Access: Full Text (via EBSCO)
Main Author: Farahvash, Pooya (Author)
Format: eBook
Language:English
Published: Hoboken, New Jersey : John Wiley & Sons, Inc., [2020]
Series:Wiley finance series.
Subjects:
Asset-liability management.
Bank liquidity.
Asset-liability management
Bank liquidity
Table of Contents:
  • Cover
  • Title Page
  • Copyright
  • Contents
  • About the Author
  • Preface
  • Abbreviations
  • Introduction
  • CHAPTER 1 Interest Rate
  • Interest Rate, Future Value, and Compounding
  • Use of Time Notation versus Period Notation
  • Simple Interest
  • Accrual and Payment Periods
  • Present Value and Discount Factor
  • Present Value of Several Cash Flows
  • Present Value of Annuity and Perpetuity
  • Day Count and Business Day Conventions
  • Treasury Yield Curve and Zero-Coupon Rate
  • Bootstrapping
  • LIBOR
  • Forward Rates and Future Rates
  • Implied Forward Rates
  • Forward Rate Agreements
  • Interest Rate Futures
  • Swap Rate
  • Determination of the Swap Rate
  • Valuation of Interest Rate Swap Contracts
  • LIBOR-Swap Spot Curve
  • Interpolation Methods
  • Piecewise Linear Interpolation
  • Piecewise Cubic Spline Interpolation
  • Federal Funds and Prime Rates
  • Overnight Index Swap Rate
  • OIS Discounting
  • Secured Overnight Financing Rate
  • Components of Interest Rate
  • Risk Structure of Interest Rate
  • Term Structure of Interest Rate
  • Expectation Theory
  • Market Segmentation Theory
  • Liquidity Premium Theory
  • Inflation and Interest Rate
  • Negative Interest Rate
  • Interest Rate Shock
  • Parallel Shock
  • Non-Parallel Shock
  • Interest Rate Risk
  • Summary
  • Notes
  • Bibliography
  • CHAPTER 2 Valuation: Fundamentals of Fixed-Income and Non-Maturing Products
  • Principal Amortization
  • Bullet Payment at Maturity
  • Linear Amortization
  • Constant Payment Amortization
  • Sum-of-Digits Amortization
  • Custom Amortization Schedule
  • Fixed-Rate Instrument
  • Valuation
  • Yield
  • Duration and Convexity
  • Dollar Duration and Dollar Convexity
  • Portfolio Duration and Convexity
  • Effective Duration and Effective Convexity
  • Interest Rate Risk Immunization
  • Key Rate Duration
  • Fisher-Weil Duration
  • Key Rate Duration.
  • Floating-Rate Instrument
  • Pre-Period-Initiation Rate Setting
  • Post-Period-Initiation Rate Setting
  • Valuation Using Estimated Interest Rates at Future Reset Dates
  • Using Implied Forward Rate
  • Using Forecasted Rate
  • Valuation Using Assumption of Par Value at Next Reset Date
  • Duration and Convexity
  • Valuation Using Simulated Interest Rate Paths
  • Non-Maturing Instrument
  • No New Business Treatment
  • No New Account Treatment
  • Constant Balance Treatment
  • Inclusion of Prepayment and Default: A Roll Forward Approach
  • Summary
  • Notes
  • Bibliography
  • CHAPTER 3 Equity Valuation
  • Dividend Discount Model
  • Discounted Free Cash Flow Method
  • Comparative Valuation Using Price Ratios
  • Summary
  • Note
  • Bibliography
  • CHAPTER 4 Option Valuation
  • Stock Option
  • Boundary Values
  • Call Option
  • Put Option
  • Put-Call Parity
  • Underlying Stock Does Not Pay Dividends
  • Underlying Stock Pays Dividends or Provides Yield
  • Binomial Tree
  • The Black-Scholes-Merton Model
  • Generalization of the Black-Scholes-Merton Model
  • Option Valuation Using Monte Carlo Simulation
  • Sensitivity of Option Value
  • Sensitivity to Underlying Price
  • Sensitivity to Volatility
  • Sensitivity to the Interest Rate
  • Sensitivity to the Passage of Time
  • Volatility
  • Historical Volatility
  • Implied Volatility
  • Non-Constant Volatility
  • ARCH and GARCH Models
  • Forecasting Volatility Using the GARCH Model
  • The GARCH-M Model
  • The Exponentially Weighted Moving Average Model
  • The EWMA Model for Covariance
  • Option Valuation Using a GARCH Model
  • Futures Options
  • Futures Contract
  • Option on Futures Contract
  • Put-Call Parity for Futures Options
  • Black Model
  • Using a Binomial Tree for Valuation of Futures Options
  • Summary
  • Annex 1: Derivation of Put-Call Parity When the Underlying Pays Dividends.
  • Early Amortization Event
  • Valuation of Asset-Backed Securities
  • Summary
  • Annex: Derivation of Survival Factor
  • Notes
  • Bibliography
  • CHAPTER 8 Economic Value of Equity
  • Economic Value of Equity: Basics
  • Duration Gap
  • Risk-Adjusted Yield Curve
  • Interest Rate Scenario Analysis
  • Product Type and Value Sensitivity
  • Impact of Interest Rate Shocks on EVE
  • Balance Sheet Type and EVE Sensitivity
  • Currency Exchange Rate Scenario Analysis
  • Economic Value of Equity Risk Limits
  • Balance Sheet Planning and EVE Forecasting
  • Basel Accord Guidance on EVE Analysis
  • Principles of Managing Interest Rate Risk in the Banking Book
  • Scenario Construction and EVE Analysis
  • Standardized Framework
  • Summary
  • Notes
  • Bibliography
  • CHAPTER 9 Net Interest Income
  • Interest Income and Expense: Basics
  • Interest Income and Expense for Floating-Rate Instruments
  • Using the Implied Forward Rate
  • Using the Forecasted Rate
  • Incorporating Balance Sheet Change in NII Analysis
  • Runoff View: No New Volume
  • Static View: Replacement of Matured Positions
  • Dynamic View: Incorporation of Business Plan
  • Earning Gap
  • Interest Rate Scenario Analysis
  • Parallel Shocks
  • Non-Parallel Shocks
  • Balance Sheet Type and NII Sensitivity
  • Impact of Interest Rate Options on NII
  • Currency Exchange Rate Scenario Analysis
  • Currency Forward and Interest Rate Parity
  • Exchange Rate Shock Scenarios
  • Net Interest Income Hedging
  • Net Interest Income Risk Limits
  • Required Data and Other Considerations in NII Analysis
  • Basel Accord Guidance on NII Analysis
  • Summary
  • Notes
  • Bibliography
  • CHAPTER 10 Equity and Earnings at Risk
  • Introduction to Value-at-Risk
  • Variance-Covariance Method
  • Historical Sampling Method
  • Monte Carlo Simulation Method
  • Conditional Value-at-Risk
  • Application of VaR Methodology in ALM.
  • Scenario Generation
  • Historical Sampling
  • Monte Carlo Simulation
  • Standard and Generalized Brownian Motion
  • Multi-dimensional Brownian Motion
  • Geometric Brownian Motion
  • Mean-Reverting Brownian Motion
  • Geometric Mean-Reverting Brownian Motion
  • Calibration
  • Equity-at-Risk
  • Interest Rate Risk Factor
  • Component Contribution
  • Approximation Techniques
  • Currency Exchange Rate Risk Factor
  • Sample Size and Convergence
  • Earnings-at-Risk
  • Interest Rate Risk Factor
  • Currency Exchange Rate Risk Factor
  • Summary
  • Notes
  • Bibliography
  • CHAPTER 11 Liquidity Risk
  • Funding Source and Liquidity Risk
  • Deposits
  • Short-Term Debt
  • Medium-Term Notes
  • Long-Term Debt
  • Securitization
  • Credit and Liquidity Facilities
  • Eurodollar Deposit and Federal Funds Market
  • Other Sources of Funding
  • Short-Term Secured Funding: Repurchase Agreements
  • Repo Basics
  • Repo Margin
  • Collateral Delivery Methods and Triparty Repo
  • Use of Repo
  • Security Lending
  • Repo and Liquidity Risk
  • Managing Liquidity Risk of Repo
  • Cash Flow Gap Analysis and Liquidity Stress Tests
  • Cash Flow Gap: Business-as-Usual
  • Cash Flow Gap: Idiosyncratic Stress
  • Cash Flow Gap: Market-Wide Stress
  • Cash Flow Gap: Multi-Currency
  • Funding Concentration Risk
  • Basel Accord Liquidity Risk Monitoring Tools
  • Liquidity Coverage Ratio
  • High-Quality Liquid Asset
  • Total Net Cash Outflows in Next 30 Days
  • Net Stable Funding Ratio
  • Available Stable Funding
  • Required Stable Funding
  • Intraday Liquidity
  • Early Warning Indicators
  • Liquidity Contingency Plan
  • Summary
  • Notes
  • Bibliography
  • CHAPTER 12 Funds Transfer Pricing
  • Funds Transfer Pricing: Basics
  • Pool Method
  • Matched Maturity Method
  • FTP Rate for Fixed-Rate Maturing Products
  • Weighted Average Method
  • Duration Method
  • Refinancing Method.

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