Interest rate risk in the banking book : a best practice guide to management and hedging /
Beata Lubinska.
- 1 online resource : color illustrations.
Includes bibliographical references and index.
"Asset Liability Management, the practice of matching the term structure and cash flows of an organization's asset and liability portfolios to maximize returns and minimize risk, is a key component of any financial institution's overall operating strategy. Due to a heavily regulated landscape and increasing competition for resources such as liquidity and capital, financial institutions -- especially banks -- are driven to constantly search for ways to run a more sophisticated ALM operation. As a result, the role of the ALM unit has to constantly evolve, extending beyond the risk management field. On top of the unit's traditional function of managing risk associated to the banking book, it now has to manage the regulatory capital of the bank and actively position the balance sheet to maximize profit. These contemporary challenges call for ALM optimization techniques, more particularly, ways to optimize the banking book using a quantifiable approach. The proposed book promotes active management of the banking book through optimization techniques presented in the book that effectively combine interest rate risk and liquidity risk management into one holistic approach"--
About the Author Beata Lubinska is Head of Market Risk at MeDirect Group in London, where her focus is on Interest Rate Risk in the Banking Book (IRRBB), Market Risk and Balance Sheet Management. She has over 15 years of experience in this space gained at GE Capital, Deloitte and Standard Chartered Bank both in Milan and London. Beata is also a faculty member at The Certificate of Bank Treasury Risk Management (BTRM) where she teaches optimization techniques in Asset Liability Management. She holds a PhD in Finance from Wroclaw University of Economics.