Asset-liability and liquidity management (Record no. 2943)

MARC details
000 -LEADER
fixed length control field 04356nam a22002057a 4500
005 - DATE AND TIME OF LATEST TRANSACTION
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008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
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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
Holdings
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

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