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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. 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. Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including: The…mehr
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.
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.
Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including:
The fundamentals of analytical finance
Detailed explanations of financial valuation models for a variety of products
The principle of economic value of equity and value-at-risk
The principle of net interest income and earnings-at-risk
Liquidity risk
Funds transfer pricing
A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.
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Autorenporträt
POOYA FARAHVASH is vice president of Treasury Modeling and Analytics at American Express Company overseeing development of models used in ALM, liquidity risk management, stress testing, and deposit products. He previously worked at investment bank Jefferies in liquidity risk management and at CIT Group in asset-liability management. His experience in the banking industry is focused in treasury department activities, specifically in areas of interest rate risk, liquidity risk, asset-liability management, deposit modeling, and economic capital. Dr. Farahvash is also an adjunct instructor at New York University, teaching analytical courses. He received his PhD degree in Industrial and Systems Engineering and MS degree in Statistics both from Rutgers University, New Jersey. He currently lives in New York City.
Inhaltsangabe
About the Author xvii
Preface xix
Abbreviations xxiii
Introduction 1
Asset-Liability Management Metrics 5
ALM Risk Factors 7
Organization of This Book 8
Chapter 1 Interest Rate 17
Interest Rate, Future Value, and Compounding 18
Use of Time Notation versus Period Notation 22
Simple Interest 23
Accrual and Payment Periods 24
Present Value and Discount Factor 29
Present Value of Several Cash Flows 32
Present Value of Annuity and Perpetuity 33
Day Count and Business Day Conventions 34
Treasury Yield Curve and Zero-Coupon Rate 40
Bootstrapping 43
LIBOR 48
Forward Rates and Future Rates 49
Implied Forward Rates 50
Forward Rate Agreements 55
Interest Rate Futures 56
Swap Rate 58
Determination of the Swap Rate 61
Valuation of Interest Rate Swap Contracts 66
LIBOR-Swap Spot Curve 70
Interpolation Methods 75
Piecewise Linear Interpolation 76
Piecewise Cubic Spline Interpolation 78
Federal Funds and Prime Rates 84
Overnight Index Swap Rate 87
OIS Discounting 88
Secured Overnight Financing Rate 94
Components of Interest Rate 95
Risk Structure of Interest Rate 97
Term Structure of Interest Rate 98
Expectation Theory 100
Market Segmentation Theory 102
Liquidity Premium Theory 102
Inflation and Interest Rate 102
Negative Interest Rate 103
Interest Rate Shock 105
Parallel Shock 106
Non-Parallel Shock 107
Interest Rate Risk 109
Summary 110
Notes 112
Bibliography 114
Chapter 2 Valuation: Fundamentals of Fixed-Income and Non-Maturing Products 115
Principal Amortization 116
Bullet Payment at Maturity 116
Linear Amortization 117
Constant Payment Amortization 118
Sum-of-Digits Amortization 121
Custom Amortization Schedule 123
Fixed-Rate Instrument 124
Valuation 124
Yield 130
Duration and Convexity 133
Dollar Duration and Dollar Convexity 142
Portfolio Duration and Convexity 143
Effective Duration and Effective Convexity 144
Interest Rate Risk Immunization 145
Key Rate Duration 155
Fisher-Weil Duration 156
Key Rate Duration 160
Floating-Rate Instrument 165
Pre-Period-Initiation Rate Setting 166
Post-Period-Initiation Rate Setting 166
Valuation Using Estimated Interest Rates at Future Reset Dates 168
Using Implied Forward Rate 168
Using Forecasted Rate 171
Valuation Using Assumption of Par Value at Next Reset Date 177
Duration and Convexity 182
Valuation Using Simulated Interest Rate Paths 184
Non-Maturing Instrument 191
No New Business Treatment 192
No New Account Treatment 196
Constant Balance Treatment 197
Inclusion of Prepayment and Default: A Roll Forward Approach 198
