Research Catalog

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.
Publication
Chicago, Ill. : Irwin Professional Pub., 1996.

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Details

Additional Authors
  • Fabozzi, Frank J.
  • Konishi, Atsuo.
Description
vi, 506 pages; 24 cm
Uniform Title
Asset/liability management.
Subject
Note
  • Rev. ed. of: Asset/liability management. c1991.
  • Includes index.
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.
ISBN
1557388008
LCCN
95023832
OCLC
  • 32893213
  • ocm32893213
Owning Institutions
Columbia University Libraries