Handbook of Asset and Liability Management

Preface.Acknowledgments.About the author.PART I INTRODUCTION.1 The History of ALM.2 What is Asset and Liability Management Today?PART II INTERNAL TRANSFER PRICING, ACCOUNTING AND AUDITING.3 Balance Sheet Presentation.4 "Accrued Accounting" for Interest Rate Instruments Versus "Marked-to-Market" Accounting.5 IFRS and IAS Accounting.6 "Economic Accounting": Fair Value and Full Fair Value.7 Internal Transfer Pricing or Fund Transfer Pricing (FTP).8 ALM as a Profit Centre.9 Optimal Organization of an ALM Team.PART III BALANCE SHEET ITEMS AND PRODUCTS MODELLING.10 Behavioural Modelling Principles.11 Deposits and Savings.12 Loans.13 Prepayments.14 Other Examples of Products Needing Behavioural Modelling.15 Examples of Products Partially Correlated with Financial Markets.16 New Production Modelling.17 Insurance Products.18 Hedging Instruments.PART IV RISK MANAGEMENT FOR ASSET AND LIABILITY MANAGERS.19 Financial Risks.20 Non-Financial Risks.PART V TOOLS FOR ASSET AND LIABILITY MANAGERS.21 Simulation Tools for Interest Rates and Other Financial Indexes.22 Delta Equivalent Computation.23 Technical Tools Useful in ALM.PART VI ECONOMIC VALUE AND NEW RISK INDICATORS ASSOCIATED WITH THE BASEL II AND SOLVENCY II REGULATORY PERSPECTIVE.24 Basel II Regulation and Solvency II.25 Links Between ALM and Financial Analysis.26 Towards Economic Capital Indicators.PART VII OPTIMAL RETURN STRATEGIES.27 Risk Perfect Hedging Using the Delta Equivalent Technique.28 Limits Policy.29 Income Smoothing Strategies.30 Economic Value Management: The A/L Manager's Optimization Programme Under Economic Capital Constraints and Accounting Constraints.31 Application to Banking Book Activities.32 Economic Value Management in Insurance Companies and in Capital Book Management.PART VIII CONCLUSIONS ON THE ALM OF TOMORROW.33 Conclusions on the Future of ALM.PART IX ANNEXES.34 Statistical Advanced Tools.35 The Basis of Interest Rate Modelling.Bibliography.Index.

ALEXANDRE ADAM is a French Asset and Liability Manager born in 1973 in Reims, France. He has a Statistician and Economist Post-graduate Diploma of Ecole Nationale de la Statistique et de l'Administration Economique, Malakoff, France. In 1993, he studied Engineering at Ecole Polytechnique, Palaiseau, the major French "Grande Ecole", where he was awarded an Advanced Graduate Degree. Alexandre also has a Masters degree in Mathematics from University Paris-VI.

Since 1997, he has worked for BNP Paribas, in the ALM and Treasury Department, initially in charge of the optional interest rate risks in the Balance Sheet before working as a Front Office market operator. Alexandre is now responsible for the Financial Models Team, where his team contributes to the ALM models and indicators such as Stress Tests, economic capital, behavioural models estimation, retail credit risk, implementation and calculation of the Banking Book Value at Risk and Equity Allocation in the Banking Book.

Alexandre is an actuary of the French Institute of Actuaries and is a member of the scientific committee of AFGAP, the French Association of Asset and Liability Managers. Since 2005, Alexandre has also been a Master Degree lecturer at University Paris XIII.

Alexandre has published many articles on ALM in specialised journals.

"If you are looking for the latest global coverage on asset and liability management, this book is an excellent resource." (Pensions World, January 2008)