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ISBN 13 : 978-0-470-03496-5

Sommaire :
PART I INTRODUCTION.
1 The History of ALM.
2 What is Asset and Liability Management Today ?
PART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING.
3 Balance Sheet Presentation.
4 "Accrued Accounting" for Interest Rate Instruments Versus "Marked-to-Market" Accounting.
5 IFRS and IAS Accounting.
6 "Economic Accounting": Fair Value and Full Fair Value.
7 Internal Transfer Pricing or Fund Transfer Pricing (FTP).
8 ALM as a Profit Centre.
9 Optimal Organization of an ALM Team.
PART III BALANCE SHEET ITEMS AND PRODUCTS MODELLING.
10 Behavioural Modelling Principles.
11 Deposits and Savings.
12 Loans.
13 Prepayments.
14 Other Examples of Products Needing Behavioural Modelling.
15 Examples of Products Partially Correlated with Financial Markets.
16 New Production Modelling.
17 Insurance Products.
18 Hedging Instruments.
PART IV RISK MANAGEMENT FOR ASSET AND LIABILITY MANAGERS.
19 Financial Risks.
20 Non-Financial Risks.
PART V TOOLS FOR ASSET AND LIABILITY MANAGERS.
21 Simulation Tools for Interest Rates and Other Financial Indexes.
22 Delta Equivalent Computation.
23 Technical Tools Useful in ALM.
PART VI ECONOMIC VALUE AND NEW RISK INDICATORS ASSOCIATED WITH THE BASEL II AND SOLVENCY II REGULATORY PERSPECTIVE.
24 Basel II Regulation and Solvency II.
25 Links Between ALM and Financial Analysis.
26 Towards Economic Capital Indicators.
PART VII OPTIMAL RETURN STRATEGIES.
27 Risk Perfect Hedging Using the Delta Equivalent Technique.
28 Limits Policy.
29 Income Smoothing Strategies.
30 Economic Value Management: The A/L Manager's Optimization Programme Under Economic Capital Constraints and Accounting Constraints.
31 Application to Banking Book Activities.
32 Economic Value Management in Insurance Companies and in Capital Book Management.
PART VIII CONCLUSIONS ON THE ALM OF TOMORROW.
33 Conclusions on the Future of ALM.
PART IX ANNEXES.
34 Statistical Advanced Tools.
35 The Basis of Interest Rate Modelling.

Langue : Anglais

Collection : FINANCE

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque