Asset-Liability and Liquidity Management

Asset-Liability and Liquidity Management distils the author's extensive experience in the financial industry, and ALM in particular, into concise and comprehensive lessons. Each of the topics are covered with a focus on real-world applications, based on the author's own experience in the industry.

The author is the Vice President of Treasury Modeling and Analytics at American Express. He is also an adjunct Professor at New York University, teaching a variety of analytical courses.

Learn from the best as Dr. Farahvash takes you through basic and advanced topics, including:

• The fundamentals of analytical finance
• Detailed explanations of financial valuation models for a variety of products
• The principle of economic value of equity and value-at-risk
• The principle of net interest income and earnings-at-risk
• Liquidity risk
• Funds transfer pricing

A detailed Appendix at the end of the book helps novice users with basic probability and statistics concepts used in financial analytics.

POOYA FARAHVASH is vice president of Treasury Modeling and Analytics at American Express Company overseeing development of models used in ALM, liquidity risk management, stress testing, and deposit products. He previously worked at investment bank Jefferies in liquidity risk management and at CIT Group in asset-liability management. His experience in the banking industry is focused in treasury department activities, specifically in areas of interest rate risk, liquidity risk, asset-liability management, deposit modeling, and economic capital. Dr. Farahvash is also an adjunct instructor at New York University, teaching analytical courses. He received his PhD degree in Industrial and Systems Engineering and MS degree in Statistics both from Rutgers University, New Jersey. He currently lives in New York City.