Bank Asset and Liability Management

Moorad Choudhry is Head of Treasury at KBC Financial Products UK Limited in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance with JPMorgan Chase Bank. Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Fellow of the Securities Institute in the City of London. He is co-editor with Professor Frank Fabozzi of The Handbook of European Fixed Income Securities.

• Foreword xiPreface xiiiAbout the Author xxiiiPart I Banking business, bank capital and debt market instruments 1Chapter 1 Bank business and bank capital 3Chapter 2 Financial statements and ratio analysis 29Chapter 3 The money markets 47Chapter 4 The bond instrument 133Part II Bank Treasury Asset–liability Management 209Chapter 5 Asset–liability management I 211Chapter 6 Asset–liability Management II 247Chapter 7 ALM trading principles 305Chapter 8 Asset–liability management III: The ALCO 327Chapter 9 The yield curve 339Chapter 10 The determinants of the swap spread and understanding the term premium 451Chapter 11 Introduction to relative spread analysis 477Part III Financial Instruments, Applications and Hedging 491Chapter 12 Repo instruments 493Chapter 13 Money market derivatives 539Chapter 14 Interest-rate swaps and overnight-index swaps 625Chapter 15 Hedging using bond futures contracts 713Chapter 16 Credit risk and credit derivatives 745Chapter 17 Value-at-Risk (VaR) and credit VaR 833Part IV Funding and Balance Sheet Management Using Securitisation and Structured Credit Vehicles 881Chapter 18 Introduction to securitisation 887Chapter 19 Structured, synthetic and repackaged funding vehicles 921Chapter 20 Mortgage-backed securities and covered bonds 961Chapter 21 Asset-backed securities 999Chapter 22 Collateralised debt obligations 1021Chapter 23 Synthetic collateralised debt obligations 1059Chapter 24 Synthetic mortgage-backed securities 1139Chapter 25 Structured investment vehicles 1147Part V Bank Regulatory Capital 1161Chapter 26 Bank regulatory capital and the Basel rules 1165Chapter 27 A Primer on Basel II 1195Part VI Treasury Middle Office Operations 1241Chapter 28 Funding and Treasury procedures for banking corporations 1243Part VII Applications Software Enclosed with the Book 1261Chapter 29 Applications software and spreadsheet models 1263Appendix Financial markets arithmetic 1277Glossary 1315Index 1383