{"product_id":"asset-liability-and-liquidity-management-hardback-9781119701880","title":"Asset–Liability and Liquidity Management (Hardback) 9781119701880","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eAsset–Liability and Liquidity Management\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cfont size=\"4\"\u003eFarahvash (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781119701880\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 3 August 2020\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e1056 pages\u003cbr\u003e23.4 x 17.9 x 4.3 cm, 1.376 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cp\u003e\u003ci\u003eAsset-Liability and Liquidity Management\u003c\/i\u003e 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.\u003c\/p\u003e \u003cp\u003eThe 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.\u003c\/p\u003e \u003cp\u003eLearn from the best as Dr. Farahvash takes you through basic and advanced topics, including:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eThe fundamentals of analytical finance\u003c\/li\u003e \u003cli\u003eDetailed explanations of financial valuation models for a variety of products\u003c\/li\u003e \u003cli\u003eThe principle of economic value of equity and value-at-risk\u003c\/li\u003e \u003cli\u003eThe principle of net interest income and earnings-at-risk\u003c\/li\u003e \u003cli\u003eLiquidity risk\u003c\/li\u003e \u003cli\u003eFunds transfer pricing\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eA detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eAbout the Author xvii\u003c\/p\u003e \u003cp\u003ePreface xix\u003c\/p\u003e \u003cp\u003eAbbreviations xxiii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eIntroduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAsset-Liability Management Metrics 5\u003c\/p\u003e \u003cp\u003eALM Risk Factors 7\u003c\/p\u003e \u003cp\u003eOrganization of This Book 8\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Interest Rate 17\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInterest Rate, Future Value, and Compounding 18\u003c\/p\u003e \u003cp\u003eUse of Time Notation versus Period Notation 22\u003c\/p\u003e \u003cp\u003eSimple Interest 23\u003c\/p\u003e \u003cp\u003eAccrual and Payment Periods 24\u003c\/p\u003e \u003cp\u003ePresent Value and Discount Factor 29\u003c\/p\u003e \u003cp\u003ePresent Value of Several Cash Flows 32\u003c\/p\u003e \u003cp\u003ePresent Value of Annuity and Perpetuity 33\u003c\/p\u003e \u003cp\u003eDay Count and Business Day Conventions 34\u003c\/p\u003e \u003cp\u003eTreasury Yield Curve and Zero-Coupon Rate 40\u003c\/p\u003e \u003cp\u003eBootstrapping 43\u003c\/p\u003e \u003cp\u003eLIBOR 48\u003c\/p\u003e \u003cp\u003eForward Rates and Future Rates 49\u003c\/p\u003e \u003cp\u003eImplied Forward Rates 50\u003c\/p\u003e \u003cp\u003eForward Rate Agreements 55\u003c\/p\u003e \u003cp\u003eInterest Rate Futures 56\u003c\/p\u003e \u003cp\u003eSwap Rate 58\u003c\/p\u003e \u003cp\u003eDetermination of the Swap Rate 61\u003c\/p\u003e \u003cp\u003eValuation of Interest Rate Swap Contracts 66\u003c\/p\u003e \u003cp\u003eLIBOR-Swap Spot Curve 70\u003c\/p\u003e \u003cp\u003eInterpolation Methods 75\u003c\/p\u003e \u003cp\u003ePiecewise Linear Interpolation 76\u003c\/p\u003e \u003cp\u003ePiecewise Cubic Spline Interpolation 78\u003c\/p\u003e \u003cp\u003eFederal Funds and Prime Rates 84\u003c\/p\u003e \u003cp\u003eOvernight Index Swap Rate 87\u003c\/p\u003e \u003cp\u003eOIS Discounting 88\u003c\/p\u003e \u003cp\u003eSecured Overnight Financing Rate 94\u003c\/p\u003e \u003cp\u003eComponents of Interest Rate 95\u003c\/p\u003e \u003cp\u003eRisk Structure of Interest Rate 97\u003c\/p\u003e \u003cp\u003eTerm Structure of Interest Rate 98\u003c\/p\u003e \u003cp\u003eExpectation Theory 100\u003c\/p\u003e \u003cp\u003eMarket Segmentation Theory 102\u003c\/p\u003e \u003cp\u003eLiquidity Premium Theory 102\u003c\/p\u003e \u003cp\u003eInflation and Interest Rate 102\u003c\/p\u003e \u003cp\u003eNegative Interest Rate 103\u003c\/p\u003e \u003cp\u003eInterest Rate Shock 105\u003c\/p\u003e \u003cp\u003eParallel Shock 106\u003c\/p\u003e \u003cp\u003eNon-Parallel Shock 107\u003c\/p\u003e \u003cp\u003eInterest Rate Risk 109\u003c\/p\u003e \u003cp\u003eSummary 110\u003c\/p\u003e \u003cp\u003eNotes 112\u003c\/p\u003e \u003cp\u003eBibliography 114\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Valuation: Fundamentals of Fixed-Income and Non-Maturing Products 115\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003ePrincipal Amortization 116\u003c\/p\u003e \u003cp\u003eBullet Payment at Maturity 116\u003c\/p\u003e \u003cp\u003eLinear Amortization 117\u003c\/p\u003e \u003cp\u003eConstant Payment Amortization 118\u003c\/p\u003e \u003cp\u003eSum-of-Digits Amortization 121\u003c\/p\u003e \u003cp\u003eCustom Amortization Schedule 123\u003c\/p\u003e \u003cp\u003eFixed-Rate Instrument 124\u003c\/p\u003e \u003cp\u003eValuation 124\u003c\/p\u003e \u003cp\u003eYield 130\u003c\/p\u003e \u003cp\u003eDuration and Convexity 133\u003c\/p\u003e \u003cp\u003eDollar Duration and Dollar Convexity 142\u003c\/p\u003e \u003cp\u003ePortfolio Duration and Convexity 143\u003c\/p\u003e \u003cp\u003eEffective Duration and Effective Convexity 144\u003c\/p\u003e \u003cp\u003eInterest Rate Risk Immunization 145\u003c\/p\u003e \u003cp\u003eKey Rate Duration 155\u003c\/p\u003e \u003cp\u003eFisher-Weil Duration 156\u003c\/p\u003e \u003cp\u003eKey Rate Duration 160\u003c\/p\u003e \u003cp\u003eFloating-Rate Instrument 165\u003c\/p\u003e \u003cp\u003ePre-Period-Initiation Rate Setting 166\u003c\/p\u003e \u003cp\u003ePost-Period-Initiation Rate Setting 166\u003c\/p\u003e \u003cp\u003eValuation Using Estimated Interest Rates at Future Reset Dates 168\u003c\/p\u003e \u003cp\u003eUsing Implied Forward Rate 168\u003c\/p\u003e \u003cp\u003eUsing Forecasted Rate 171\u003c\/p\u003e \u003cp\u003eValuation Using Assumption of Par Value at Next Reset Date 177\u003c\/p\u003e \u003cp\u003eDuration and Convexity 182\u003c\/p\u003e \u003cp\u003eValuation Using Simulated Interest Rate Paths 184\u003c\/p\u003e \u003cp\u003eNon-Maturing Instrument 191\u003c\/p\u003e \u003cp\u003eNo New Business Treatment 192\u003c\/p\u003e \u003cp\u003eNo New Account Treatment 196\u003c\/p\u003e \u003cp\u003eConstant Balance Treatment 197\u003c\/p\u003e \u003cp\u003eInclusion of Prepayment and Default: A Roll Forward Approach 198\u003c\/p\u003e \u003cp\u003eSummary 207\u003c\/p\u003e \u003cp\u003eNotes 210\u003c\/p\u003e \u003cp\u003eBibliography 210\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Equity Valuation 213\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDividend Discount Model 214\u003c\/p\u003e \u003cp\u003eDiscounted Free Cash Flow Method 217\u003c\/p\u003e \u003cp\u003eComparative Valuation Using Price Ratios 226\u003c\/p\u003e \u003cp\u003eSummary 233\u003c\/p\u003e \u003cp\u003eNote 234\u003c\/p\u003e \u003cp\u003eBibliography 235\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Option Valuation 237\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStock Option 238\u003c\/p\u003e \u003cp\u003eBoundary Values 240\u003c\/p\u003e \u003cp\u003eCall Option 241\u003c\/p\u003e \u003cp\u003ePut Option 243\u003c\/p\u003e \u003cp\u003ePut–Call Parity 247\u003c\/p\u003e \u003cp\u003eUnderlying Stock Does Not Pay Dividends 247\u003c\/p\u003e \u003cp\u003eUnderlying Stock Pays Dividends or Provides Yield 251\u003c\/p\u003e \u003cp\u003eBinomial Tree 252\u003c\/p\u003e \u003cp\u003eThe Black–Scholes–Merton Model 267\u003c\/p\u003e \u003cp\u003eGeneralization of the Black–Scholes–Merton Model 272\u003c\/p\u003e \u003cp\u003eOption Valuation Using Monte Carlo Simulation 273\u003c\/p\u003e \u003cp\u003eSensitivity of Option Value 282\u003c\/p\u003e \u003cp\u003eSensitivity to Underlying Price 282\u003c\/p\u003e \u003cp\u003eSensitivity to Volatility 288\u003c\/p\u003e \u003cp\u003eSensitivity to the Interest Rate 290\u003c\/p\u003e \u003cp\u003eSensitivity to the Passage of Time 291\u003c\/p\u003e \u003cp\u003eVolatility 292\u003c\/p\u003e \u003cp\u003eHistorical Volatility 292\u003c\/p\u003e \u003cp\u003eImplied Volatility 295\u003c\/p\u003e \u003cp\u003eNon-Constant Volatility 297\u003c\/p\u003e \u003cp\u003eARCH and GARCH Models 298\u003c\/p\u003e \u003cp\u003eForecasting Volatility Using the GARCH Model 303\u003c\/p\u003e \u003cp\u003eThe GARCH-M Model 305\u003c\/p\u003e \u003cp\u003eThe Exponentially Weighted Moving Average Model 306\u003c\/p\u003e \u003cp\u003eThe EWMA Model for Covariance 310\u003c\/p\u003e \u003cp\u003eOption Valuation Using a GARCH Model 312\u003c\/p\u003e \u003cp\u003eFutures Options 319\u003c\/p\u003e \u003cp\u003eFutures Contract 319\u003c\/p\u003e \u003cp\u003eOption on Futures Contract 320\u003c\/p\u003e \u003cp\u003ePut–Call Parity for Futures Options 323\u003c\/p\u003e \u003cp\u003eBlack Model 324\u003c\/p\u003e \u003cp\u003eUsing a Binomial Tree for Valuation of Futures Options 326\u003c\/p\u003e \u003cp\u003eSummary 328\u003c\/p\u003e \u003cp\u003eAnnex 1: Derivation of Put–Call Parity When the Underlying Pays Dividends 331\u003c\/p\u003e \u003cp\u003eAnnex 2: Derivation of Delta, Gamma, Vega, Rho, and Theta 338\u003c\/p\u003e \u003cp\u003eNotes 343\u003c\/p\u003e \u003cp\u003eBibliography 344\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Interest Rate Models 347\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInstantaneous Forward Rate and Short Rate 347\u003c\/p\u003e \u003cp\u003eVasicek Model 354\u003c\/p\u003e \u003cp\u003eHull-White Model 358\u003c\/p\u003e \u003cp\u003eHo-Lee Model 366\u003c\/p\u003e \u003cp\u003eBlack-Karasinski Model 367\u003c\/p\u003e \u003cp\u003eInterest Rate Options 368\u003c\/p\u003e \u003cp\u003eSwaption 368\u003c\/p\u003e \u003cp\u003eInterest Rate Cap and Floor 370\u003c\/p\u003e \u003cp\u003eAnalytical Valuation of Bonds and Options 373\u003c\/p\u003e \u003cp\u003eZero-Coupon Bond 373\u003c\/p\u003e \u003cp\u003eOption on a Zero-Coupon Bond 374\u003c\/p\u003e \u003cp\u003eInterest Rate Cap and Floor 375\u003c\/p\u003e \u003cp\u003eOption on a Coupon-Bearing Bond 376\u003c\/p\u003e \u003cp\u003eSwaption 376\u003c\/p\u003e \u003cp\u003eInterest Rate Tree 377\u003c\/p\u003e \u003cp\u003eThe Hull-White Tree 382\u003c\/p\u003e \u003cp\u003eThe Black-Karasinski Tree 400\u003c\/p\u003e \u003cp\u003eCalibration 405\u003c\/p\u003e \u003cp\u003eCalibration Using the Analytical Method 408\u003c\/p\u003e \u003cp\u003eCalibration Using the Interest Rate Tree 413\u003c\/p\u003e \u003cp\u003eLIBOR Market Model 420\u003c\/p\u003e \u003cp\u003eSummary 425\u003c\/p\u003e \u003cp\u003eAnnex: Derivation of Zero-Coupon Bond Price Using a Δt-Period Rate from the Hull-White Tree 427\u003c\/p\u003e \u003cp\u003eNotes 429\u003c\/p\u003e \u003cp\u003eBibliography 430\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Valuation of Bonds with Embedded Options 433\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCallable Bond 433\u003c\/p\u003e \u003cp\u003eOption-Adjusted Spread 441\u003c\/p\u003e \u003cp\u003ePutable Bond 444\u003c\/p\u003e \u003cp\u003eSummary 446\u003c\/p\u003e \u003cp\u003eNote 447\u003c\/p\u003e \u003cp\u003eBibliography 447\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Valuation of Mortgage-Backed and Asset-Backed Securities 449\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMortgage-Backed Securities 450\u003c\/p\u003e \u003cp\u003eFixed-Rate Conventional Mortgage Loans 452\u003c\/p\u003e \u003cp\u003ePrepayment 460\u003c\/p\u003e \u003cp\u003eImpact of Prepayment on Mortgage-Backed Securities 463\u003c\/p\u003e \u003cp\u003eValuation of Mortgage-Backed Securities 476\u003c\/p\u003e \u003cp\u003eShort Rate Model 476\u003c\/p\u003e \u003cp\u003eMortgage Refinancing Rate Model 480\u003c\/p\u003e \u003cp\u003ePrepayment Model 483\u003c\/p\u003e \u003cp\u003eCash Flow Generator 483\u003c\/p\u003e \u003cp\u003eDiscounting and Aggregation Platform 484\u003c\/p\u003e \u003cp\u003eNumber of Simulated Paths and Convergence 486\u003c\/p\u003e \u003cp\u003eImpact of Default on Mortgage-Backed Securities 488\u003c\/p\u003e \u003cp\u003eCollateralized Mortgage Obligations 503\u003c\/p\u003e \u003cp\u003eValuation of Collateralized Mortgage Obligations 511\u003c\/p\u003e \u003cp\u003eAsset-Backed Securities 513\u003c\/p\u003e \u003cp\u003eAuto Loan ABSs 517\u003c\/p\u003e \u003cp\u003eCollateral 517\u003c\/p\u003e \u003cp\u003eStructure 520\u003c\/p\u003e \u003cp\u003ePrepayment 521\u003c\/p\u003e \u003cp\u003eHome Equity Loan ABSs 522\u003c\/p\u003e \u003cp\u003eCollateral 522\u003c\/p\u003e \u003cp\u003eStructure 523\u003c\/p\u003e \u003cp\u003ePrepayment 524\u003c\/p\u003e \u003cp\u003eStudent Loan ABSs 524\u003c\/p\u003e \u003cp\u003eCollateral 524\u003c\/p\u003e \u003cp\u003eStructure 528\u003c\/p\u003e \u003cp\u003ePrepayment 529\u003c\/p\u003e \u003cp\u003eCredit Card Receivable ABSs 529\u003c\/p\u003e \u003cp\u003eCollateral 529\u003c\/p\u003e \u003cp\u003eStructure 530\u003c\/p\u003e \u003cp\u003eCash Flow Distribution Method 531\u003c\/p\u003e \u003cp\u003ePrepayment 534\u003c\/p\u003e \u003cp\u003eEarly Amortization Event 534\u003c\/p\u003e \u003cp\u003eValuation of Asset-Backed Securities 535\u003c\/p\u003e \u003cp\u003eSummary 550\u003c\/p\u003e \u003cp\u003eAnnex: Derivation of Survival Factor 552\u003c\/p\u003e \u003cp\u003eNotes 553\u003c\/p\u003e \u003cp\u003eBibliography 554\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Economic Value of Equity 557\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEconomic Value of Equity: Basics 559\u003c\/p\u003e \u003cp\u003eDuration Gap 562\u003c\/p\u003e \u003cp\u003eRisk-Adjusted Yield Curve 567\u003c\/p\u003e \u003cp\u003eInterest Rate Scenario Analysis 574\u003c\/p\u003e \u003cp\u003eProduct Type and Value Sensitivity 575\u003c\/p\u003e \u003cp\u003eImpact of Interest Rate Shocks on EVE 584\u003c\/p\u003e \u003cp\u003eBalance Sheet Type and EVE Sensitivity 593\u003c\/p\u003e \u003cp\u003eCurrency Exchange Rate Scenario Analysis 594\u003c\/p\u003e \u003cp\u003eEconomic Value of Equity Risk Limits 597\u003c\/p\u003e \u003cp\u003eBalance Sheet Planning and EVE Forecasting 597\u003c\/p\u003e \u003cp\u003eBasel Accord Guidance on EVE Analysis 600\u003c\/p\u003e \u003cp\u003ePrinciples of Managing Interest Rate Risk in the Banking Book 601\u003c\/p\u003e \u003cp\u003eScenario Construction and EVE Analysis 604\u003c\/p\u003e \u003cp\u003eStandardized Framework 607\u003c\/p\u003e \u003cp\u003eSummary 608\u003c\/p\u003e \u003cp\u003eNotes 610\u003c\/p\u003e \u003cp\u003eBibliography 611\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Net Interest Income 613\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInterest Income and Expense: Basics 614\u003c\/p\u003e \u003cp\u003eInterest Income and Expense for Floating-Rate Instruments 620\u003c\/p\u003e \u003cp\u003eUsing the Implied Forward Rate 621\u003c\/p\u003e \u003cp\u003eUsing the Forecasted Rate 631\u003c\/p\u003e \u003cp\u003eIncorporating Balance Sheet Change in NII Analysis 638\u003c\/p\u003e \u003cp\u003eRunoff View: No New Volume 638\u003c\/p\u003e \u003cp\u003eStatic View: Replacement of Matured Positions 642\u003c\/p\u003e \u003cp\u003eDynamic View: Incorporation of Business Plan 644\u003c\/p\u003e \u003cp\u003eEarning Gap 648\u003c\/p\u003e \u003cp\u003eInterest Rate Scenario Analysis 653\u003c\/p\u003e \u003cp\u003eParallel Shocks 654\u003c\/p\u003e \u003cp\u003eNon-Parallel Shocks 664\u003c\/p\u003e \u003cp\u003eBalance Sheet Type and NII Sensitivity 670\u003c\/p\u003e \u003cp\u003eImpact of Interest Rate Options on NII 673\u003c\/p\u003e \u003cp\u003eCurrency Exchange Rate Scenario Analysis 683\u003c\/p\u003e \u003cp\u003eCurrency Forward and Interest Rate Parity 683\u003c\/p\u003e \u003cp\u003eExchange Rate Shock Scenarios 687\u003c\/p\u003e \u003cp\u003eNet Interest Income Hedging 691\u003c\/p\u003e \u003cp\u003eNet Interest Income Risk Limits 697\u003c\/p\u003e \u003cp\u003eRequired Data and Other Considerations in NII Analysis 699\u003c\/p\u003e \u003cp\u003eBasel Accord Guidance on NII Analysis 701\u003c\/p\u003e \u003cp\u003eSummary 702\u003c\/p\u003e \u003cp\u003eNotes 704\u003c\/p\u003e \u003cp\u003eBibliography 704\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Equity and Earnings at Risk 705\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction to Value-at-Risk 706\u003c\/p\u003e \u003cp\u003eVariance-Covariance Method 708\u003c\/p\u003e \u003cp\u003eHistorical Sampling Method 710\u003c\/p\u003e \u003cp\u003eMonte Carlo Simulation Method 713\u003c\/p\u003e \u003cp\u003eConditional Value-at-Risk 717\u003c\/p\u003e \u003cp\u003eApplication of VaR Methodology in ALM 719\u003c\/p\u003e \u003cp\u003eScenario Generation 721\u003c\/p\u003e \u003cp\u003eHistorical Sampling 721\u003c\/p\u003e \u003cp\u003eMonte Carlo Simulation 726\u003c\/p\u003e \u003cp\u003eStandard and Generalized Brownian Motion 726\u003c\/p\u003e \u003cp\u003eMulti-dimensional Brownian Motion 730\u003c\/p\u003e \u003cp\u003eGeometric Brownian Motion 731\u003c\/p\u003e \u003cp\u003eMean-Reverting Brownian Motion 734\u003c\/p\u003e \u003cp\u003eGeometric Mean-Reverting Brownian Motion 739\u003c\/p\u003e \u003cp\u003eCalibration 743\u003c\/p\u003e \u003cp\u003eEquity-at-Risk 743\u003c\/p\u003e \u003cp\u003eInterest Rate Risk Factor 744\u003c\/p\u003e \u003cp\u003eComponent Contribution 748\u003c\/p\u003e \u003cp\u003eApproximation Techniques 749\u003c\/p\u003e \u003cp\u003eCurrency Exchange Rate Risk Factor 752\u003c\/p\u003e \u003cp\u003eSample Size and Convergence 758\u003c\/p\u003e \u003cp\u003eEarnings-at-Risk 762\u003c\/p\u003e \u003cp\u003eInterest Rate Risk Factor 763\u003c\/p\u003e \u003cp\u003eCurrency Exchange Rate Risk Factor 769\u003c\/p\u003e \u003cp\u003eSummary 775\u003c\/p\u003e \u003cp\u003eNotes 776\u003c\/p\u003e \u003cp\u003eBibliography 777\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Liquidity Risk 779\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFunding Source and Liquidity Risk 780\u003c\/p\u003e \u003cp\u003eDeposits 781\u003c\/p\u003e \u003cp\u003eShort-Term Debt 783\u003c\/p\u003e \u003cp\u003eMedium-Term Notes 788\u003c\/p\u003e \u003cp\u003eLong-Term Debt 789\u003c\/p\u003e \u003cp\u003eSecuritization 790\u003c\/p\u003e \u003cp\u003eCredit and Liquidity Facilities 793\u003c\/p\u003e \u003cp\u003eEurodollar Deposit and Federal Funds Market 795\u003c\/p\u003e \u003cp\u003eOther Sources of Funding 796\u003c\/p\u003e \u003cp\u003eShort-Term Secured Funding: Repurchase Agreements 796\u003c\/p\u003e \u003cp\u003eRepo Basics 796\u003c\/p\u003e \u003cp\u003eRepo Margin 800\u003c\/p\u003e \u003cp\u003eCollateral Delivery Methods and Triparty Repo 801\u003c\/p\u003e \u003cp\u003eUse of Repo 802\u003c\/p\u003e \u003cp\u003eSecurity Lending 807\u003c\/p\u003e \u003cp\u003eRepo and Liquidity Risk 809\u003c\/p\u003e \u003cp\u003eManaging Liquidity Risk of Repo 811\u003c\/p\u003e \u003cp\u003eCash Flow Gap Analysis and Liquidity Stress Tests 816\u003c\/p\u003e \u003cp\u003eCash Flow Gap: Business-as-Usual 823\u003c\/p\u003e \u003cp\u003eCash Flow Gap: Idiosyncratic Stress 833\u003c\/p\u003e \u003cp\u003eCash Flow Gap: Market-Wide Stress 841\u003c\/p\u003e \u003cp\u003eCash Flow Gap: Multi-Currency 849\u003c\/p\u003e \u003cp\u003eFunding Concentration Risk 854\u003c\/p\u003e \u003cp\u003eBasel Accord Liquidity Risk Monitoring Tools 855\u003c\/p\u003e \u003cp\u003eLiquidity Coverage Ratio 856\u003c\/p\u003e \u003cp\u003eHigh-Quality Liquid Asset 857\u003c\/p\u003e \u003cp\u003eTotal Net Cash Outflows in Next 30 Days 859\u003c\/p\u003e \u003cp\u003eNet Stable Funding Ratio 873\u003c\/p\u003e \u003cp\u003eAvailable Stable Funding 874\u003c\/p\u003e \u003cp\u003eRequired Stable Funding 874\u003c\/p\u003e \u003cp\u003eIntraday Liquidity 884\u003c\/p\u003e \u003cp\u003eEarly Warning Indicators 892\u003c\/p\u003e \u003cp\u003eLiquidity Contingency Plan 893\u003c\/p\u003e \u003cp\u003eSummary 893\u003c\/p\u003e \u003cp\u003eNotes 896\u003c\/p\u003e \u003cp\u003eBibliography 897\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Funds Transfer Pricing 899\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFunds Transfer Pricing: Basics 900\u003c\/p\u003e \u003cp\u003ePool Method 906\u003c\/p\u003e \u003cp\u003eMatched Maturity Method 910\u003c\/p\u003e \u003cp\u003eFTP Rate for Fixed-Rate Maturing Products 910\u003c\/p\u003e \u003cp\u003eWeighted Average Method 913\u003c\/p\u003e \u003cp\u003eDuration Method 914\u003c\/p\u003e \u003cp\u003eRefinancing Method 915\u003c\/p\u003e \u003cp\u003eFTP Rate for Floating-Rate Maturing Products 917\u003c\/p\u003e \u003cp\u003eFTP Rate for Non-Maturing Products 920\u003c\/p\u003e \u003cp\u003eBehavioral Model Method 920\u003c\/p\u003e \u003cp\u003eReplicating Model Method 930\u003c\/p\u003e \u003cp\u003eComponents of FTP Rate 932\u003c\/p\u003e \u003cp\u003eCharacteristics of a Good FTP System 934\u003c\/p\u003e \u003cp\u003eSummary 936\u003c\/p\u003e \u003cp\u003eNotes 938\u003c\/p\u003e \u003cp\u003eBibliography 938\u003c\/p\u003e \u003cp\u003eAppendix: Elements of Probability and Statistics 939\u003c\/p\u003e \u003cp\u003eIndex 1003\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" 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