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The Handbook of ALM in Banking

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Table of Contents

Introduction Andreas Bohn (Barclays) and Marije Elkenbracht-Huizing (ABN AMRO) Part I: Regulations and their impact on ALM 1. New regulatory developments for interest rate risk in the banking book Volker Leistikow 2. Bank capital and liquidity Marc Farag, Dan Nixon (Bank of England) and Damian Harland (Barclays) 3. Liquidity risk management as a determinant for asset and liability management Paolo Tonucci and Andreas Bohn (Barclays) Part II: Management of interest rate risk 4. Measuring and managing interest rate and basis risk Giovanni Gentili and Nicola Santini (European Investment Bank) 5. The modelling of non-maturity deposits George Soulellis (Barclays) 6. Modelling non-maturing deposits with stochastic interest rates and credit spreads Andreas Bohn (Barclays) 7. Risk management of non-maturity deposits Marije Elkenbracht-Huizing (ABN AMRO) and Bert-Jan Nauta (Double Effect) 8. Optimising risk and return of non-maturing products by dynamic replication Michael Schurle and Florentina Paraschiv (University of St. Gallen) 9. Hedge accounting Bernhard Wondrak (TriSolutions) Part III: Management of funding risk 10. The risk of a bank run: liquidity stress testing from regulatory aspects Matthias Bergner, Patrick Marcus and Maria Adler (Deutsche Bank) 11. Strategies for the management of reserve assets Andreas Hauschild and Christian Buschmann (Commerzbank AG) 12. Optimal funding tenors Rene Reinbacher (Barclays) 13. Management and transfer pricing of collateral Federico Galizia (European Investment Fund) and Giovanni Gentili (European Investment Bank) Part IV: Balance sheet management 14. Funds transfer pricing in the new normal Peter Neu (DZ Bank), Pascal Vogt and Michael Widowitz (Boston Consulting Group) 15. Capital instruments under Basel III Volker Batz (Credit Suisse) 16. Understanding the price of lending to households Richard Button, Silvia Pezzini and Neil Rossiter (Bank of England)

About the Author

Andreas Bohn Andreas Bohn is managing director for balance sheet strategy at Barclays Treasury. Before joining Barclays, he ran asset and liability management for global transaction banking at Deutsche Bank. Previously, Andreas worked as a market risk manager for interest rates as well as a market maker for interest rate derivatives at Deutsche Bank, where he started his career in quantitative research. Andreas has spoken on asset liability modelling as well as on the impact of regulations on balance sheet management at conferences in Europe and the US and is the author of related publications. He is a graduate of the University of Munster and holds a PhD from the University of Augsburg. Marije Elkenbracht-Huizing Marije Elkenbracht-Huizing is director of Market and asset and liability management/treasury risk at ABN AMRO Bank. In this role she is responsible for risk management of the treasury and trading portfolios. Before this, she was managing director ofALM and market risk at NIBC. Previously she performed a leading role at ABN AMRO in the areas of derivative valuation and risk management models, economic capital for market risk and interest rate risk for the banking book, ALM modelling and strategy. She has published and spoken at various international conferences on the topics of ALM modelling and economic capital. She has been a member of the Platform Mathematics Netherlands, which aims to stimulate the contribution of mathematics to innovation. Marije earned master's and PhD degrees in mathematics from Leiden University.


The Handbook of ALM in Banking provides a comprehensive overview about the latest issues in ALM management. It describes current trends in bank regulation, interest rate risk management, liquidty risk management, as well as balance sheet management. The strength of this volume is that it practioners contributed issues from their day-to-day work along with its solutions. This book should be on every treasurer's desk. Review by Christian Buschmann, 12/08/2014

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