Asset-liability and liquidity management (Record no. 2943)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04356nam a22002057a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20220720115336.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 220704b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781119701880 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.10681 |
| Item number | FAR |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Farahvash, Pooya |
| 245 ## - TITLE STATEMENT | |
| Title | Asset-liability and liquidity management |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Name of publisher, distributor, etc. | John Wiley & Sons, Inc. |
| Place of publication, distribution, etc. | New Jersey |
| Date of publication, distribution, etc. | 2020 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | v, 1028 p. |
| 365 ## - TRADE PRICE | |
| Price type code | USD |
| Price amount | 49.95 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc. note | TABLE OF CONTENTS<br/>About the Author xvii<br/><br/>Preface xix<br/><br/>Abbreviations xxiii<br/><br/>Introduction 1<br/><br/>Asset-Liability Management Metrics 5<br/><br/>ALM Risk Factors 7<br/><br/>Organization of This Book 8<br/><br/>Chapter 1 Interest Rate 17<br/><br/>Interest Rate, Future Value, and Compounding 18<br/><br/>Use of Time Notation versus Period Notation 22<br/><br/>Simple Interest 23<br/><br/>Accrual and Payment Periods 24<br/><br/>Present Value and Discount Factor 29<br/><br/>Present Value of Several Cash Flows 32<br/><br/>Present Value of Annuity and Perpetuity 33<br/><br/>Day Count and Business Day Conventions 34<br/><br/>Treasury Yield Curve and Zero-Coupon Rate 40<br/><br/>Bootstrapping 43<br/><br/>LIBOR 48<br/><br/>Forward Rates and Future Rates 49<br/><br/>Implied Forward Rates 50<br/><br/>Forward Rate Agreements 55<br/><br/>Interest Rate Futures 56<br/><br/>Swap Rate 58<br/><br/>Determination of the Swap Rate 61<br/><br/>Valuation of Interest Rate Swap Contracts 66<br/><br/>LIBOR-Swap Spot Curve 70<br/><br/>Interpolation Methods 75<br/><br/>Piecewise Linear Interpolation 76<br/><br/>Piecewise Cubic Spline Interpolation 78<br/><br/>Federal Funds and Prime Rates 84<br/><br/>Overnight Index Swap Rate 87<br/><br/>OIS Discounting 88<br/><br/>Secured Overnight Financing Rate 94<br/><br/>Components of Interest Rate 95<br/><br/>Risk Structure of Interest Rate 97<br/><br/>Term Structure of Interest Rate 98<br/><br/>Expectation Theory 100<br/><br/>Market Segmentation Theory 102<br/><br/>Liquidity Premium Theory 102<br/><br/>Inflation and Interest Rate 102<br/><br/>Negative Interest Rate 103<br/><br/>Interest Rate Shock 105<br/><br/>Parallel Shock 106<br/><br/>Non-Parallel Shock 107<br/><br/>Interest Rate Risk 109<br/><br/>Summary 110<br/><br/>Notes 112<br/><br/>Bibliography 114<br/><br/>Chapter 2 Valuation: Fundamentals of Fixed-Income and Non-Maturing Products 115<br/><br/>Principal Amortization 116<br/><br/>Bullet Payment at Maturity 116<br/><br/>Linear Amortization 117<br/><br/>Constant Payment Amortization 118<br/><br/>Sum-of-Digits Amortization 121<br/><br/>Custom Amortization Schedule 123<br/><br/>Fixed-Rate Instrument 124<br/><br/>Valuation 124<br/><br/>Yield 130<br/><br/>Duration and Convexity 133<br/><br/>Dollar Duration and Dollar Convexity 142<br/><br/>Portfolio Duration and Convexity 143<br/><br/>Effective Duration and Effective Convexity 144<br/><br/>Interest Rate Risk Immunization 145<br/><br/>Key Rate Duration 155<br/><br/>Fisher-Weil Duration 156<br/><br/>Key Rate Duration 160<br/><br/>Floating-Rate Instrument 165<br/><br/>Pre-Period-Initiation Rate Setting 166<br/><br/>Post-Period-Initiation Rate Setting 166<br/><br/>Valuation Using Estimated Interest Rates at Future Reset Dates 168<br/><br/>Using Implied Forward Rate 168<br/><br/>Using Forecasted Rate 171<br/><br/>Valuation Using Assumption of Par Value at Next Reset Date 177<br/><br/>Duration and Convexity 182<br/><br/>Valuation Using Simulated Interest Rate Paths 184<br/><br/>Non-Maturing Instrument 191<br/><br/>No New Business Treatment 192<br/><br/>No New Account Treatment 196<br/><br/>Constant Balance Treatment 197<br/><br/>Inclusion of Prepayment and Default: A Roll Forward Approach 198<br/><br/>Summary 207<br/><br/>Notes 210<br/><br/>Bibliography 210 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Asset-Liability and Liquidity Management distils the author’s extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author’s own experience in the industry.<br/><br/>The author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses.<br/><br/>Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including:<br/><br/>The fundamentals of analytical finance<br/>Detailed explanations of financial valuation models for a variety of products<br/>The principle of economic value of equity and value-at-risk<br/>The principle of net interest income and earnings-at-risk<br/>Liquidity risk<br/>Funds transfer pricing<br/>A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Asset-liability management |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Bank liquidity |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Book |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Collection code | Bill No | Bill Date | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Total Checkouts | Full call number | Accession Number | Date last seen | Copy number | Cost, replacement price | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Finance & Accounting | TB675 | 10-06-2022 | Indian Institute of Management LRC | Indian Institute of Management LRC | General Stacks | 07/04/2022 | Technical Bureau India Pvt. Ltd. | 2627.37 | 332.10681 FAR | 002599 | 07/04/2022 | 1 | 3996.00 | 07/04/2022 | Book |