Produktbild: Bank Asset & Liability Management

Bank Asset & Liability Management Strategy, Trading, Analysis

147,99 €

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

13.04.2007

Verlag

John Wiley & Sons

Seitenzahl

1415

Maße (L/B/H)

23,7/16,9/7,8 cm

Gewicht

1907 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-82135-0

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

13.04.2007

Verlag

John Wiley & Sons

Seitenzahl

1415

Maße (L/B/H)

23,7/16,9/7,8 cm

Gewicht

1907 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-82135-0

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: GPSR Kontakt

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  • Produktbild: Bank Asset & Liability Management
  • 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