ASSET-LIABILITY MANAGEMENT SYSTEM

ASSET-LIABILITY MANAGEMENT SYSTEM. ALM. Presented by c.s.balakrishnan. WHY ALM?. Globalisation of financial markets. Deregulation of Interest Rates. Multi-currency Balance Sheet. Prevalance of Basis Risk and Embedded Option Risk.

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Module III: Asset-Liability Management

Module III: Asset-Liability Management. Week 7 – February 23, 2006. Risk Management. Measure and manage sources of variation in value or cash flows from Interest rates Exchange rates Input and product prices Unexpected casualty losses Several approaches are available

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Asset&Liability Management

Asset&Liability Management. The Concept of Duration and Managing A Bank’s Duration Gap. 7-2. The Concept of Duration. Duration is the weighted average maturity of a promised stream of future cash flows. 7-3. To Calculate Duration. 7-4. Price Sensitivity of a Security. 7-5.

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ASSET-LIABILITY MANAGEMENT SYSTEM

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Asset Liability Management in Banks

Asset Liability Management in Banks. Components of a Bank Balance Sheet . Banks profit and loss account. A bank’s profit & Loss Account has the following components: Income: This includes Interest Income and Other Income.

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Asset/Liability Management Day 4

Asset/Liability Management Day 4. Equity Valuation, Duration, EVE, Deposit Betas, & Hedging . Equity Valuation Focus. Basic fixed income security valuation rule: Rates rise  value falls Rates fall  value rises M arket value of equity

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Asset/Liability Management Models in Insurance and Benchmark Decomposition

Asset/Liability Management Models in Insurance and Benchmark Decomposition. Alexei A. Gaivoronski and Sergiy Krylov Norwegian University of Science and Technology. Contents. 1. Introduction: ALM model outline 2. Approximations: scenario trees parametric strategies

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Asset/Liability Management

Asset/Liability Management. William F. Sharpe STANCO 25 Professor of Finance, Emeritus Stanford University www.wsharpe.com. A Hypothetical Plan’s Funded Status. S&P500 Plans’ Funded Status. Vote. The Defined Benefit system is a mess True Sort of true Sort of false False.

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BANK 501 ASSET AND LIABILITY MANAGEMENT

BANK 501 ASSET AND LIABILITY MANAGEMENT. WEEK 8 FOREIGN EXCHANGE RISK Sounders and Cornett (2006), Chp 15. FOREIGN EXCHANGE RISK. Because of the globalization of the financial services industry FIs are increasingly exposed to foreign exchange risk

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BANK 501 - ASSET AND LIABILITY MANAGEMENT

BANK 501 - ASSET AND LIABILITY MANAGEMENT. WEEK 11 SOVEREIGN RISK Saunders and Cornett (200 6 ) Chp. 28. Introduction . In 1970s: Expansion of loans to Eastern bloc, Latin America and other LDCs.

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An Asset/Liability Management Overview

An Asset/Liability Management Overview. What Is Asset/Liability Management?. Also known as asset-liability management, gap management Activity usually run in a Treasury Department of a bank Managed weekly or biweekly by a committee

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BANK 501 ASSET AND LIABILITY MANAGEMENT

BANK 501 ASSET AND LIABILITY MANAGEMENT. WEEK 2 Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques Rose and Hudgings (20 10 ) Chp. 7. Key Topics. Asset, Liability, and Funds Management Market Rates and Interest-Rate Risk

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ASSET-LIABILITY MANAGEMENT SYSTEM

ASSET-LIABILITY MANAGEMENT SYSTEM. ALM. Dr. Sanjay Kavishwar Dean – Academics & Admissions Tirpude’s DMSR. WHY ALM?. Globalisation of financial markets. Deregulation of Interest Rates. Multi-currency Balance Sheet. Prevalance of Basis Risk and Embedded Option Risk.

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ASSET LIABILITY MANAGEMENT

ASSET LIABILITY MANAGEMENT. Generic Income Statement Of Fin. Inst. IR= r * TA IE= c * TL r = weighted average interest rate (yield) earned on assets c = weighted average interest rate (yield) paid on liabilities. Cost of funds.

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Asset Liability Management models in Prophet

Asset Liability Management models in Prophet. ALS versus Global Strategy library. Lenka Miczova Legal & General, UK October 2013. CONTENTS. Introduction ALM models Prophet Simple ALM models Where (ALM) models enter MCEV, S2 formulas Global & Asset library versus ALS

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Asset Liability Management in Banks

Asset Liability Management in Banks. Components of a Bank Balance Sheet. Banks profit and loss account. A bank’s profit & Loss Account has the following components: Income: This includes Interest Income and Other Income.

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Asset Liability Management

Asset Liability Management. Pre-Financial Sector Reforms (1991). Geographical spread of Bank branches Directed Investments / Credit Programs Administered Rates of Interest Accrual based accounting Problems of Recovery of Loans Deterioration in Quality of Assets /Loans Erosion of Profits

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ASSET LIABILITY MANAGEMENT (ALM)

ASSET LIABILITY MANAGEMENT (ALM). History of bank failures in US. 2012 - 23 2011 - 89 2010 -  157 2009 - 140. Components of a Bank Balance sheet. Contingent Liabilities. Business Risks. Operational Risk Credit Risk Market Risk Liquidity Risk Interest Rate Risk Foreign Exchange Risk

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Asset Management Models

Fair Investments aim at high profit return form asset to their clients using three models Benchmark, Teacher and Lace. All three model are used with different methodology with same goal. http://fairinvestments.se/

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Asset and Liability Management

Asset and liability management (ALM) is a financial term whose meaning has evolved over the period along with the growth of the financial structures in the country.

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Asset & Liability Management

Asset & Liability Management. Introduction. What is ALM about ?. Liquidity Interest rate risk (in the main portfolio, not in trading books) Balance sheet management. Balance Sheet Management. Capital Funding Bond issues Deposit pricing Portfolio Composition Securitisation

665 views • 55 slides