For anyone who is new
to asset-liability management (ALM)—or for anyone who knows some of the
pieces but would like to understand ALM as a unified whole—this is an
outstanding book. Assuming only passing familiarity with bank
management, it walks readers through all aspects of ALM—Capital
management, transfer pricing, loan pricing, credit risk, interest rate
risk, securitization, liquidity ...
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Bank Asset and Liability
Management
Moorad Choudhry
Choudhry has written more books on fixed income markets
than I can possibly count. Inevitably, material is repackaged from one
book to the next. At 1,400 pages, this is a huge book, but much of the
content is repackaged descriptions of fixed income instruments—from CDs
to CDOs. That material is outstanding, but it isn't ALM. What little
material the book has on actual ALM is, well, not outstanding ...
Advanced Financial Risk Management
D. van Deventer, K. Imai, M. Mesler
2004
Do you think you
have already read everything there is out there on financial risk management?
Through the 1990's, so many books were published that all
explored the same recurring themes. Fortunately, that started to change in 2003. I
consider the two significant books of that year ...
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The Fundamentals of
Risk Measurement
Chris Marrison
2002
There are lots of introductory texts on VaR and financial risk management.
Marrison's is one of the best. Focusing exclusively on risk management within
banks limits the book's audience, but it provides a context for deep
understanding. No other book treats VaR, credit risk, ALM, RAROC, operational
risk, and ... Read more
Financial Risk Management In Banking:
The Theory and Application of Asset and
Liability Management
Dennis G. Uyemura and Donald R. Van Deventer
1993
Financial Risk Management in Banking is an excellent introduction
to asset-liability management (ALM) for commercial banks. Topics
include: risk, capital regulation, loan pricing, gap analysis,
simulation models, duration, asset securitization, transfer pricing ...
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