Stream of consciousness about Asset & Liability Management

Quarta di copertina

“ALM LinkedIn Posts Collection” is an essential resource that brings together the insightful LinkedIn posts of Alessio Gioia, focusing on the vital discipline of Asset & Liability Management (ALM) and balance sheet management in banking. This book offers a hands-on guide filled with practical reflections and deep analysis on how financial institutions can navigate the complex landscape of risk management in today’s challenging environment.

With an emphasis also on credit risk and liquidity risk, the author delves into the strategies banks can use to assess, monitor, and mitigate these risks across their portfolios. The book also explores interest rate risk management, detailing the use of hedging instruments such as swaps and derivatives to shield against market volatility and ensure long-term stability.

One of the standout features of this collection is the examination of key ALM metrics, including Delta Economic Value of Equity (ΔEVE) and Delta Net Interest Income (ΔNII). These sections offer valuable insights into measuring risk exposure and aligning a bank’s strategies with market dynamics to optimize both short-term profitability and long-term equity value.

Furthermore, the author highlights innovative approaches to ALM, such as dynamic modeling and scenario analysis, underscoring the need for modern tools to anticipate future risks and adapt to evolving regulations. His guidance combines theoretical concepts with real-world applications, making the book a practical guide for ALM professionals, risk managers, and banking executives.

“ALM LinkedIn Posts Collection” is more than a book—it is a comprehensive guide to mastering ALM in today’s financial world, offering actionable advice and expert insights to help banks enhance their risk management practices and navigate the complexities of the industry.

Indice testuale

Book Presentation

• ALM & Balance Sheet Interdependencies: Main Indicator Relationships and Risk Attribution
• ALM & Balancesheet Management: The Relationship Between Enterprise Value of Equity (EVE) and Net Interest Income (NII)
• ALM & Derivative Hedging Instruments
• ALM & Dynamic Balance Sheet Management: Enhancing Risk Integration and Strategic Decision-Making
• ALM & Hedge Fund Liquidity Management: Aligning Fund Redemption Terms and Asset Liquidity
• ALM & Hedging Instruments: Cancellable Swaps in Bank Risk Management
• ALM & ICAAP: Capital Allocation to Cover IRRBB
• ALM & IRRBB: Economic Value of Equity (EVE) and Repricing GAP
• ALM & IRRBB: Estimating Deposit Beta
• ALM & IRRBB: Managing the Trade-off Between Risk and Profitability
• ALM & IRRBB: Supervisory Outlier Tests (SOTs)
• ALM & IRRBB: The Policy
• ALM & Liquidity Management: LCR and NSFR
• ALM & Modelling of Non-Matured Deposits
• ALM & Non-Maturity Deposits: A Review of Literature and Key Findings
• ALM & Prepayment Risk Management
• ALM & Replicating Portfolio of Non-Maturing Deposits: A Modern Approach to Risk Management
• ALM and Behavioural Models: Calibrating, Managing, and Hedging Approaches
• ALM and Liquidity Risk Management: The Functions of Liquidity and Repricing GAP
• ALM, ESG, and Liquidity Risk Management
• ALM, Hedge Accounting, and IFRS 9: Integration for Financial Stability
• The Influence of Yield Curve Slope and Interest Rate Levels on ALM Positioning and Interest Rate Risk in Financial Institutions
• Asset & Liability Management: The Case of Silicon Valley Bank
• Asset and Liability Management & the Prepayment Phenomenon
• Assets & Liabilities of the U.S. Banking System: A Comprehensive Overview
• Convexity Issues in Asset and Liability Management (ALM) & Banking Books
• GAP Techniques in Asset and Liability Management (ALM)
• Interest Rate Risk and Credit Spread Risk in the Banking Book
• IRRBB & Balance Sheet Management: Value and Income Risk Optimization Mix
• IRRBB & Basis Risk: Understanding the Impact of Interest Rate Mismatches in ALM
• IRRBB Governance and Framework
• IRRBB: Natural Hedging and Hedging Through Derivatives
• Managing Interest Rate Risk: How TFR Funds Impact Corporate Financial Strategy
• New Frontiers in ALM and Balance Sheet Management: Integrating Machine Learning and AI Techniques
• New Techniques in ALM: Management Processes, Risk Measurement and Hedging Strategies
• Profitability Analysis of Banks’ ALM Book: The Role of the Financial Transfer Price (FTP) System
• The Relationship Between NII and EVE: Intrinsically Interconnected
• The Duration Gap Analysis in Asset and Liability Management (ALM)

The Author

Biografia dell'autore

Alessio Gioia, born in Suzzara (Mantova) in 1971, married, two daughters. Graduated from the Catholic University of the Sacred Heart in Milan in 1996 in Banking, Financial and Insurance Sciences with a thesis on Asset Backed securitization. Entering, immediately after graduation, in the world of operational finance as a currency market trader with a broker, he had the opportunity to deepen the logic of approach to proprietary trading and portfolio management. Later he gained experience as a “prop trader and portfolio manager” in banks and asset management companies. In the recent past he worked as Head of ALM and Banking Book and investment manager for one of the most important Italian banks. He is currently General Bursar of the diocese of Mantua.