4 Ergebnisse.

With the publication of the Basel BCBS d368 text on interest rate risk in the banking book, asset/liability management has undergone a real revolution. The April 2016 directive ("IRRBB") has indeed translated into regulation the need to implement a dual approach between stabilizing the bank's economic value ("EVE") and dynamically modeling its net interest margin ("NIM"). For this purpose, the regulator has defined criteria of rigor and qualit...

Modern finance includes a large number of highly technical specializations: credit, interest rates, equities, commodities, foreign exchange... But in reality, each of these fields uses and adapts the fundamental mathematical tools of finance. These common tools make it possible to link the different types of risk and to better understand the limits of financial solutions. The author offers here a global introduction to the fundamental notions ...

Assets and Liabilities management of financial institution is a complex matter. Following the crisis, regulators are more demanding and banks must put in place the best practices. This book presents the fundamentals for modeling accurately a commercial bank and managing its balance sheet.

M. Moulin is an investment banker specialized in financial institutions His company models and analyzes banks and insurance companies' assets and liabilities and advises his customers on their ALM, investments, liquidity and capital. M. Moulin wrote numerous research papers on finance and he lectures at the French National School for Statistics and (ENSAE) and the French Certificate in Asset Liability Management. Mr. Moulin graduated from ENSA...