An advanced method for financial institutions to optimize Asset Liability Management for maximized return and minimized risk

Financial institutions today are facing daunting regulatory and economic challenges. As they manage bank regulation and competition, institutions are also optimizing their Asset Liability Management (ALM) operations. The function of the ALM unit today goes beyond risk management related to the banking book into managing regulatory capital and positioning the balance sheet to maximize profit.  Asset Liability Management Optimization: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modeling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimization method to help maximize asset return and minimize funding cost in the banking book.

ALM ranks as a key component of any financial institution's overall operating strategy. Now, financial professionals can use an advanced solution for optimizing ALM. This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM.

• A description of the Funds Transfer Pricing (FTP) process related to a bank's target position
• Detailed examinations of interest rate risk in the banking book (IRRBB)
• Discussion of Basel III regulatory requirements and maturity gap analysis         
• Overview of customer behavior, along with its impact on interest rate and liquidity risk
• Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimization model for minimization of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits)
• Explorations of model risk, sensitivity analysis, and case studies 

The optimization techniques found in Asset Liability Management Optimization can prove vital to financial professionals who are tasked with maximizing asset return and reducing funding costs as a critical part of business objectives.

Praise for Asset Liability Management Optimisation

'This book is a key reference for Treasury professionals at financial institutions. Beata Lubinska has produced an innovative book that covers in a practical way the latest trends in asset liability management.'
—Juan Ramirez, Deloitte LLP

'Asset Liability Management Optimisation is a classic reference book for bankers like me. I have worked in the banking sector – predominantly in risk management and internal audit – for almost 20 years and I am very happy to endorse this book. Researchers, students and banking professionals will find it helpful in understanding liquidity risk management and balance sheet management. I hope Dr. Beata Lubinska would write more books periodically as she is an expert on the subject matter and has adequate expertise and industry experience in banking and consultancy and assurance services. Definitely her experience in Big4 and banking has made this book a very valuable reference material.'
—Harish Nair, Senior Manager, National Bank Oman

Optimise your banking book with a quantifiable approach

Asset Liability Management Optimisation: A Practitioner's Guide to Balance Sheet Management and Remodelling offers a step-by-step process for modelling and reshaping a bank's balance sheet. Based on the author's extensive research, it describes how to apply a quantifiable optimisation method to help maximise asset return and minimise funding cost in the banking book.

This book takes a closer look at the evolving role of the ALM function and the target position of the banking book. It provides strategies for active management, structuring, and hedging of a bank balance sheet, while also exploring additional topics related to ALM.

• A description of the Funds Transfer Pricing (FTP) process related to a bank's target position
• Detailed examinations of interest rate risk in the banking book (IRRBB)
• Discussion of Basel III regulatory requirements and maturity gap analysis
• Overview of customer behavior, along with its impact on interest rate and liquidity risk
• Practical spreadsheet models (NII sensitivity and EVE volatility IRRBB model, simplified optimisation model for minimisation of average funding cost for a bank and an example of behavioral model for Non-Maturing Deposits)
• Explorations of model risk, sensitivity analysis, and case studies