Successful Bank Asset/Liability Management: A Guide to the Future Beyond Gap - Hardcover

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About the authors JOHN W. BITNER is a Senior Vice President and Chief Investment Officer of Eastern Bank. As cochair (with Robert A. Goddard) of Eastern's asset/liability committee, he has developed strategies and executed programs which have enhanced overall bank profitability. ROBERT A. GODDARD is a Senior Vice President and Chief Financial Officer of Eastern Bank. He is responsible (along with John W. Bitner) for many of the innovative and effective A/L management programs in place at Eastern.

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Two "virtuosos of risk management" show you how to close up the holes in your gap defenses before the regulators call! Bankers Monthly dubbed them "virtuosos of risk management [who have] raised A/L management to an art." And this hands-on approach to asset/liability management from Bitner and Goddard is exactly what you d expect from such banking leaders. It s the first true action book in the field moving beyond simple gap analysis, theory, and fundamentals to show you how to apply the full range of today s sophisticated A/L management techniques and comply with the latest banking regulations. You ll find

• Full discussions of interest rate exposures not measured by gap, but of vital interest to institutions and regulators alike: basis risk (the difference in the change of interest rates between instruments of identical maturities) and imbedded options (loan payoffs and early deposit withdrawals)
• Helpful and informative insights from leading A/L management practitioners, consultants, and software developers

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If your institution s like most and your gap position (the difference between the repricing periods of a bank s assets and liabilities) is the only interest rate risk you currently measure then you should be warned: the regulators are coming. New banking regulations require that you keep a close eye not only on gap, but also on other key risks, less obvious on the balance sheet, such as basis risk and imbedded options. Simple gap analysis just isn t enough anymore. And that s just the beginning of what regulators are now asking for. But even though the array of available sophisticated simulation models and financial tools is bewildering you needn t worry, thanks to this remarkable how-to guide from two leading authorities of the asset/liability management world. Step by step, Bitner and Goddard take you through a

• Concise history of asset/liability management science since the early 80s to help orient newcomers to the field
• Comprehensive guide to jump-starting an asset/liability management program, including organizing an A/L management committee, writing an interest rate management policy (that states your interest rate risk exposure parameters), and selecting the best risk modeling system
• Comprehensive arsenal of techniques for identifying, measuring, and managing interest rate risk, including critical forecasting and self-analysis methods that ensure your institution stays on track
• Total framework for integrating your asset/liability management processes and putting them into action
• Helpful section of advice and insights from leading A/L management practitioners