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关键词：
Asset-Liability and Liquidity Management
书目信息
ISBN：
9781119701927
本馆索书号：
中图分类号：
F830.22
中文译名：
资产负债与流动性管理
作者：
Pooya Farahvash
编者：
语种：
英语
出版信息
出版社：
Wiley
出版地：
出版年：
2020
版本：
1
版本类型：
原版
丛书题名：
卷期：
文献信息
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前言：
摘要：
内容简介：
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 fundamentals of analytical finance in early chapters, and then follows with a comprehensive discussion of different financial valuation models and techniques for a wide range of products. Using fundamentals covered in earlier chapters, the book then focuses on two pillars of asset-liability management: economic value of equity and net interest income and explains them in rich detail. Concepts of liquidity risk and funds transfer pricing are each explained thoroughly in their own chapters. Since many of the subjects discussed in the book are analytical and based on statistical concepts, an Appendix is added to the end of the book to cover basic probability and statistics topics to promote a complete understanding of these topics applied to asset-liability and liquidity risk management.The book introduce the concept of Economic Value eof Equity (EVA), and explains various methods to exam the impact of change in market conditions on EVE of a financial company. In addition, it exams Funds transferring pricing (FTP) in detail, first introducing the basic concepts of FTP and then explores two major approaches in FTP, the pool method and match maturity method, for fixed-rate, floating-rate and non-maturing products,
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