This volume portrays ALM in practice, in contrast to Volume 1, which addresses the theories and methodologies behind these models. In original articles practitioners and scholars describe and analyze models used in banking, insurance, money management, individual investor financial planning, pension funds, and social security.
They put the traditional purpose of ALM, to control interest rate and liquidity risks, into rich and broad-minded frameworks. Readers interested in other business settings will find their discussions of financial institutions both instructive and revealing. Additional Details Series Volume Number. Reviews "A decade on, this two volume handbook is destined to replace its predecessor 'Worldwide Asset and Liability Modeling' as the standard reference work in the field.
Dempster University of Cambridge "This second volume of the 'Handbook of Asset and Liability Management' provides a fascinating and extensive view of how the Operations Research and Mathematical Finance tools, described in the first volume, can be exploited profitably by pension funds including the government Social Security program , insurance companies, banks, major and individual investors. Adjustement of the current ratio to eliminate no-cash equivalent assets inventory and indicate the size of the buffer of cash.
Measure of the bank's current position of how much long term earning assets more than one year are funded with non core funds net short term funds: The lower the ratio the better.
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Measurement of the extent to which assets are funded through stable deposit base. Simplified indication on the extent to which a bank is funding liquid assets by stable liabilities.
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Indication that the bank can effectively meet the loan demand as well as other liquidity needs. As an echo to the deficit of funds resulting from gaps between assets and liabilities the bank has also to address its funding requirement through an effective, robust and stable funding model. Today, banking institutions within industrialized countries are facing structural challenges and remain still vulnerable to new market shocks or setbacks:.
After , financial groups have further improved the diversification of funding sources as the crisis has proven that limited mix of funds may turn out to be risky if these sources run dry all of a sudden. The asset contribution to funding requirement depends on the bank ability to convert easily its assets to cash without loss.
From customers and small businesses and seen as stable sources with poor sensitivity level to market interest rates and bank's financial conditions. This plan needs to embrace all available funding sources and requires an integrated approach with the strategic business planning process. The objective is to provide realistic projection of funding future under various set of assumptions.
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Dependencies to endogenous bank specific events such as formulas, asset allocation, funding methods This reserve can also referred to liquidity buffer and represents as the first line of defense in a liquidity crisis before intervention of any measures of the contingency funding plan. It consists of a stock of highly liquid assets without legal, regulatory constraints the assets need to be readily available and not pledged to payments or clearing houses, we call them cashlike assets.
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As the bank should not assume that business will always continue as it is the current business process, the institution needs to explore emergency sources of funds and formalise a contingency plan. The purpose is to find alternative backup sources of funding to those that occur within the normal course of operations. Dealing with Contingency Funding Plan CFP is to find adequate actions as regard to low-probability and high-impact events as opposed to high-probability and low-impact into the day-to-day management of funding sources and their usage within the bank.
These aspects can be expressed as the inability:.
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This assessment is realised in accordance with the bank current funding structure to establish a clear view on their impacts on the 'normal' funding plan and therefore evaluate the need for extra funding. This quantitative estimation of additional funding resources under stress events is declined for:. In addition, analysis are conducted to evaluate the threat of those stress events on the bank earnings, capital level, business activities as well as the balance sheet composition. The last key aspect of an effective Contingency Funding Plan relates to the management of potential crisis with a dedicated team in charge to provide:.
The objective is to settle an approach of the asset-liabilitiy profile of the bank in accordance with its funding requirement.
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In fact, how effectively balancing the funding sources and uses with regard to liquidity, interest rate management, funding diversification and the type of business-model the bank is conducting for example business based on a majority of short-term movements with high frequency changement of the asset profile or the type of activities of the respective business lines market making business is requiring more flexible liquidity profile than traditional bank activities.
Funding report summarises the total funding needs and sources with the objective to dispose of a global view where the forward funding requirement lies at the time of the snapshot. Stars are assigned as follows:. Inventory on Biblio is continually updated, but because much of our booksellers' inventory is uncommon or even one-of-a-kind, stock-outs do happen from time to time.
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