The handbook of asset/liability management : state-of-the-art investment strategies, risk controls and regulatory requirements
- Title
- The handbook of asset/liability management : state-of-the-art investment strategies, risk controls and regulatory requirements / Frank J. Fabozzi & Atsuo Konishi, editors.
- Published by
- Chicago, Ill. : Irwin Professional Pub., 1996.
Items in the library and off-site
Displaying 1 item
Status | Format | Access | Call number | Item location |
---|---|---|---|---|
Status | FormatText | AccessRequest in advance | Call numberHG1615.25 .A75 1996 | Item locationOff-site |
Details
- Additional authors
- Description
- vi, 506 pages; 24 cm
- Uniform title
- Asset/liability management.
- Subject
- Contents
- 1. Introduction / Frank J. Fabozzi and Atsuo Konishi -- 2. The Profitable Side of Risk Management / Michael J. Giarla -- 3. A Practical Approach to Asset/Liability Management / Ravi E. Dattatreya -- 4. Asset Securitization: Prospects And Issues / Anand K. Bhattacharya and Thomas A. Zimmerman -- 5. Price Volatility Characteristics of Fixed-Income Securities / Ravi E. Dattatreya -- 6. Measuring and Controlling Yield Curve Risk / Ravi E. Dattatreya and Frank J. Fabozzi -- 7. Interest-Rate Risk Models Used by Depository Institutions / Elizabeth Mays -- 8. Risk Management in an Asset/Liability Framework / Anand K. Bhattacharya, Edward Fitzgerald and Shrikant Ramamurthy -- 9. Thrift Bulletin 13: Implications for Thrift Managers / Kenneth Spindel, Ernest Almanza, Robert L. Gilligan II and Robert Smith -- 10. Implementing "Value at Risk" in Balance Sheet Management - Using the Option-Adjusted Spread Model / Stephen R. Rigsbee, Sirri S. Ayaydin and Charles A. Richard --
- 11. Hedging Interest-Rate Risks with Futures, Swaps, and Options / Michael J. Giarla -- 12. Using the OAS Methodology to Value and Hedge Commercial Bank Retail Demand Deposit Premiums / Robert D. Selvaggio -- 13. Minimizing Derivatives Risks through an Effective Documentation Process / John Stocchetti -- 14. Managing the Investment Portfolio / John E. Bowen -- 15. Commercial Banks, Risk-Based Capital, and Mortgage-Backed Securities Transactions / Raj Bhala.
- Owning institution
- Columbia University Libraries
- Note
- Rev. ed. of: Asset/liability management. c1991.
- Includes index.