Asset-Liability and Liquidity Management - by Pooya Farahvash (Hardcover)
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<p/><br></br><p><b> About the Book </b></p></br></br>"Asset-Liability and Liquidity Management is a quantitative finance book, focused in the areas of Asset-Liability Management (ALM), Liquidity Risk and Funds Transfer Pricing (FTP), for bank, investment bank, hedge funds and investment professionals. It explains basic concepts and covers fundamentals of analytical finance in early chapters, and then follows with a comprehensive discussion of different financial valuation models and techniques for a wide range of products. Using fundamentals covered in earlier chapters, the book then focuses on two pillars of asset-liability management: economic value of equity and net interest income and explains them in rich detail. Concepts of liquidity risk and funds transfer pricing are each explained thoroughly in their own chapters. Since many of the subjects discussed in the book are analytical and based on statistical concepts, an Appendix is added to the end of the book to cover basic probability and statistics topics to promote a complete understanding of these topics applied to asset-liability and liquidity risk management. The book introduce the concept of Economic Value eof Equity (EVA), and explains various methods to exam the impact of change in market conditions on EVE of a financial company. In addition, it exams Funds transferring pricing (FTP) in detail, first introducing the basic concepts of FTP and then explores two major approaches in FTP, the pool method and match maturity method, for fixed-rate, floating-rate and non-maturing products,"--<p/><br></br><p><b> Book Synopsis </b></p></br></br><p><i>Asset-Liability and Liquidity Management</i> 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.</p> <p>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.</p> <p>Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including: </p> <ul> <li>The fundamentals of analytical finance</li> <li>Detailed explanations of financial valuation models for a variety of products</li> <li>The principle of economic value of equity and value-at-risk</li> <li>The principle of net interest income and earnings-at-risk</li> <li>Liquidity risk</li> <li>Funds transfer pricing</li> </ul> <p>A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.</p><p/><br></br><p><b> From the Back Cover </b></p></br></br><p>Traditional banks, investment banks, hedge funds, and all investment professionals benefit from thoroughly understanding Asset-Liability Management (ALM), Liquidity Risk, and Funds Transfer Pricing (FTP). That's what makes this book a valuable resource. Author Pooya Farahvash leverages his professional experience and expertise to clearly and thoroughly explain these topics. <p>He begins the book with chapters covering the fundamentals of analytical finance. The next section comprehensively discusses a range of financial valuation models and methods for various types of products. <p>Following this discussion, <i>Asset-Liability and Liquidity Management</i> references the fundamentals covered in the initial chapters to explain the two core pillars of ALM: economic value of equity and net interest income. Additionally, Dr. Farahvash devotes individual chapters to concepts of Liquidity Risk and FTP, explaining each thoroughly. Dr. Farahvash covers the basics of FTP, before exploring two significant approaches to FTP: the pool method and the match-maturity method, explaining how they apply to fixed-rate, floating-rate, and non-maturing products. <p>The book also features an Appendix covering basic probability and statistics. This promotes a greater understanding of how these topics apply to the specific concepts described throughout the book. <p>Risk managers, treasury professionals, and numerous other employees of financial institutions need to not only understand these concepts, but also appreciate why they are relevant. <i>Asset-Liability and Liquidity Management</i> helps by offering a clear but comprehensive introduction, allowing anyone to easily grasp what can at first seem to be intimidating concepts.<p/><br></br><p><b> About the Author </b></p></br></br><p><b>POOYA FARAHVASH</b> 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.
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