CHAPTER 6

Treasury and Asset/Liability Management

Thomas Day

SunGard BancWare

Introduction

The demand of today’s marketplace requires a more proactive and integrated view of balance sheet risks and returns. Given the market’s relentless pursuit for the most efficient and productive use of capital, measuring the efficiency of capital utilization subject to a firm’s consolidated risk and return appetite remains of utmost importance for banks of all sizes. This drive toward improved enterprise risk measurement and governance is not happening in isolation, nor is it merely a response to government policy or compliance mandates. Markets are becoming more liquid, and portfolios, positions and the idiosyncratic attributes of portfolios are becoming ...

Get Frontiers of Risk Management, Volume I now with O’Reilly online learning.

O’Reilly members experience live online training, plus books, videos, and digital content from 200+ publishers.