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Bank asset and liability management : strategy, trading, analysis

Bank asset and liability management : strategy, trading, analysis (Loan 4 times)

Material type
단행본
Personal Author
Choudhry, Moorad.
Title Statement
Bank asset and liability management : strategy, trading, analysis / Moorad Choudhry.
Publication, Distribution, etc
Singapore :   Wiley ,   2007.  
Physical Medium
xxiii, 1415 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4 in.).
ISBN
0470821353 (hbk.) 9780470821350 (hbk.)
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Asset-liability management. Bank management.
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001 000045571311
005 20100119113505
008 070901s2007 ch a f b 001 0 eng d
010 ▼a 2007279818
015 ▼a GBA445415 ▼2 bnb
020 ▼a 0470821353 (hbk.)
020 ▼a 9780470821350 (hbk.)
035 ▼a (KERIS)REF000013626478
040 ▼a UKM ▼c UKM ▼d BAKER ▼d NLGGC ▼d IUL ▼d YDXCP ▼d OCLCQ ▼d DLC ▼d 211009
042 ▼a lccopycat
050 0 0 ▼a HG1615.25 ▼b .C46 2007
082 0 4 ▼a 332.1/0681 ▼2 22
090 ▼a 332.10681 ▼b C552b
100 1 ▼a Choudhry, Moorad.
245 1 0 ▼a Bank asset and liability management : ▼b strategy, trading, analysis / ▼c Moorad Choudhry.
260 ▼a Singapore : ▼b Wiley , ▼c 2007.
300 ▼a xxiii, 1415 p. : ▼b ill. ; ▼c 24 cm. + ▼e 1 CD-ROM (4 3/4 in.).
504 ▼a Includes bibliographical references and index.
650 0 ▼a Asset-liability management.
650 0 ▼a Bank management.
945 ▼a KINS

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.10681 C552b Accession No. 111563730 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

Foreword xi

Preface xiii

About the Author xxiii

Part I Banking business, bank capital and debt market instruments 1

Chapter 1 Bank business and bank capital 3

Chapter 2 Financial statements and ratio analysis 29

Chapter 3 The money markets 47

Chapter 4 The bond instrument 133

Part II Bank treasury asset–liability management 209

Chapter 5 Asset–liability management I 211

Chapter 6 Asset–liability management II 247

Chapter 7 ALM trading principles 305

Chapter 8 Asset–liability management III: The ALCO 327

Chapter 9 The yield curve 339

Chapter 10 The determinants of the swap spread and understanding the term premium 451

Chapter 11 Introduction to relative spread analysis 477

Part III Financial instruments, applications and hedging 491

Chapter 12 Repo instruments 493

Chapter 13 Money market derivatives 539

Chapter 14 Interest-rate swaps and overnight-index swaps 625

Chapter 15 Hedging using bond futures contracts 713

Chapter 16 Credit risk and credit derivatives 745

Chapter 17 Value-at-Risk (VaR) and credit VaR 833

Part IV Funding and balance sheet management using securitisation and structured credit vehicles 881

Chapter 18 Introduction to securitisation 887

Chapter 19 Structured, synthetic and repackaged funding vehicles 921

Chapter 20 Mortgage-backed securities and covered bonds 961

Chapter 21 Asset-backed securities 999

Chapter 22 Collateralised debt obligations 1021

Chapter 23 Synthetic collateralised debt obligations 1059

Chapter 24 Synthetic mortgage-backed securities 1139

Chapter 25 Structured investment vehicles 1147

Part V Bank regulatory capital 1161

Chapter 26 Bank regulatory capital and the Basel rules 1165

Chapter 27 A primer on Basel II 1195

Part VI Treasury middle office operations 1241

Chapter 28 Funding and Treasury procedures for banking corporations 1243

Part VII Applications software enclosed with the book 1261

Chapter 29 Applications software and spreadsheet models 1263

Appendix Financial markets arithmetic 1277

Glossary 1315

Index 1383


Information Provided By: : Aladin

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