Bank Asset Liability Management (ALM) – A quick review of default ALM strategies.
In our last post we looked at a history of US Treasuries yield curve shifts between 1978 and 2010.
We now move to a simplified analysis of the maturity distribution of assets and liabilities on a bank balance sheet in anticipation of expected yield […]
Convexity & Duration calculator for US Treasury Bills, Notes and Bonds. To demonstrate how Duration and Convexity are calculated for specific US Treasuries we select instruments from recent US Treasury bill, note and bond auctions. Please note that we are determining these metrics (Convexity & Duration) at issue. We will calculate Macaulay, Modified and Effective Duration […]
Risk Models, Option Pricing & Bank Regulation training for practitionersA typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on product market, applications or pricing, but not all three. These leaves […]
Asset Liability Management (ALM) in Banking – Assumptions review for model builders & practitioners In a recent class on Asset Liability Management (ALM) my MBA students asked a number of interesting questions. The questions were interesting because despite working in Risk Management for two decades I had never been asked these questions prior to this class. […]
Basel II, Basel III & the Financial Crisis – Bull by the Horns – a review. Bull by the Horns: Fighting to save Main Street from Wall Street and Wall Street from itself by Sheila Bair, chronicles her tenure as FDIC Chairman from 2006 to 2011 during the Great Recession. It is a gripping read as […]
It has not been a good month for Wall Street. On February 4th, Michael Lewis came out with guns blazing against Greg Smith’s “Why I left Goldman Sachs”. Branding Mr. Smith as tone deaf, self serving and narcissistic is something that would have really tickled Goldman on any other day in February. Unfortunately Lewis didn’t stop […]