This new edition of The Handbook of ALM in Banking: Managing New Challenges for Interest Rates, Liquidity and the Balance Sheet provides a complete overview on good practices for asset and liability management in banking.
Since the previous edition, considerable changes have taken place in the regulatory ALM space. Both for liquidity risk as well as for interest rate risk in the banking book, regulatory demands have substantially increased concerning governance, stress testing, risk appetite framework, behavioural modelling, and organisational questions. At this point in time banks are working to implement these new regulations.
At the same time, stronger separation of retail banking activities from investment banking is being proposed. Consequently, there is greater focus on efficient allocation of financial resources and respective risk management. Asset and liability management and transfer pricing play a pivotal role in this context.
This new and updated edition expands on the previous version to take in an overview of these new regulations and their implications for the ALM area. The two most important developments in the ALM space since the last edition are arguably IRRBB and negative interest rates - both of which are covered here. The low-interest environment also imposes additional challenges on banking book management.
Part 1: Introduction
1. Bank failures and their impact on today’s regulatory landscape: Andreas Bohn and Marije Elkenbracht-Huizing
2. ALM in the context of enterprise risk management: Koos Timmermans and Wessel Douma
3. Bank Capital and Liquidity: Marc Farag, Dan Nixon, and Damian Harland
Part 2: Interest Rate Risk
4. The new Basel standards on IRRBB and their implications on ALM: Roberto Virreira
5. Measuring and Managing Interest Rate Risk and Basis Risk: Giovanni Gentili and Nicola Santini
6. The Modelling of Non Maturing Deposits: George Solellis
7. Non Maturing Deposits with Stochastic Interest Rates and Credit Spreads: Andreas Bohn
8. Managing Interest Rate Risk for Non Maturing Deposits: Marije Elkenbracht-Huizing and Bert-Jan Nauta
9. Replication of non-maturing products in a low interest rate environment: Michael Schürle and Florentina Paraschiv
10. Managing Mortgage Prepayment Risk on the Balance sheet: Dick Boswinkel
11. ALM in low interest environment: Thomas Becker
12. Modelling Doubtful and bad loans/IFRS 9/Credit Spread Risk: Raquel Bujalance & Oliver Burnage
13. Hedge Accounting: Bernhard Wondrak
Part 3: Liquidity Risk
14. Supervisory views on liquidity regulation, supervision and management: Patrick de Neef
15: Measuring and Managing Liquidity and Funding Risk: Lennart Gerlagh and Marc Otto
16. Optimal Funding Tenors for Derivatives: Rene Reinbacher
17. Reverse Stress Testing: Michael Eichhorn and Philippe Mangold
18. Model Risk: George Solellis
19. Asset Encumbrance: Daniela Migliasso
Part 4: Balance Sheet and Capital Management
20.Stress Testing: Bernhard Kronfellner, Stephan Suess and Volker Vonhoff
21. Capital requirements, CoCos and TLAC: Ralf Leiber
22. XVA and the holistic management of financial resources: Massimo Baldi and Francesco Fede
23. Strategies for the Management of Reserve: Christian Buschmann
24. ALM within a Constrained Balance Sheet: Andreas Bohn, Paolo Tonucci
25. Instruments for Secured Funding: Federico Galizia, Giovanni Gentili
26. FTP in the New Normal: Pascal Vogt, Peter Neu and Robert Schäfer
Andreas Bohn and Marije Elkenbracht-Huizing
Andreas Bohn is Associate Director for Risk Management at The Boston Consulting Group (BCG). Previous to his position at BCG, he was managing director for balance sheet strategy at Barclays Treasury. Before joining Barclays, he ran asset and liability management for global transaction banking at Deutsche Bank. Previously, Andreas worked as a market risk manager for interest rates as well as a market maker for interest rate derivatives at Deutsche Bank, where he started his career in quantitative research. Andreas has spoken on asset liability modelling as well as on the impact of regulations on balance sheet management at conferences in Europe and the US and is the author of related publications. He is a graduate of the University of Münster and holds a PhD from the University of Augsburg.
Marije Elkenbracht-Huizing is director of Market and asset and liability management/treasury risk at ABN AMRO Bank. In this role she is responsible for risk management of the treasury and trading portfolios. Before this, she was managing director ofALM and market risk at NIBC. Previously she performed a leading role at ABN AMRO in the areas of derivative valuation and risk management models, economic capital for market risk and interest rate risk for the banking book, ALM modelling and strategy. She has published and spoken at various international conferences on the topics of ALM modelling and economic capital. She has been a member of the Platform Mathematics Netherlands, which aims to stimulate the contribution of mathematics to innovation. Marije earned master’s and PhD degrees in mathematics from Leiden University.