Anyone know of any good books on Asset/Liability Management for Banks?
- The handbook of Asset Liability Management: Fabozzi 2) Interest Rate Risk Modelling: Nawalkha, Soto & Beliava
is this from experience?
yes… I like the 1st one better. 2nd is way too Quant oriented for me. If you need it for a bank, 1st should suffice as HFI portfolio is generally managed more from NIM perspective than in terms of MV metrics (duration, convexity Vega etc). But the industry is surely moving towards it. But there are not many things covered in the book that a CFA curriculum will not cover. Why the interest?