book

The Principles of Banking

Name: The Principles of Banking
Author: Moorad Choudhry
ISBN: 9780470825211

by Moorad Choudhry

May 2012

Beginner

912 pages

23h 23m

English

Wiley

Read now

Unlock full access

Cover
Series Page
Series1 Page
Title Page
Copyright
Dedication
Forewords
Preface
Layout of the book
Acknowledgements
About the Author

Part I: A Primer on Banking
Chapter 1: A primer on bank business and balance sheet risk
An Introduction to BankingThe Capital MarketsBanking Business and capitalFinancial Statements and RatiosThe Money MarketsBank Cash Flows and Other Basic ConceptsRisk Exposures in BankingDrivers of Credit RiskMacro-Level Risk Management and StrategyAppendix 1.1 Summary Overview of Bank Product LineDefinition of BankingProduct LineReferences
Chapter 2: Bank regulatory capital
Bank Regulatory CapitalRegulatory Capital RequirementsThe Basel I RulesThe Basel II RulesImplementation ApproachesImpact on Specific SectorsOperational RiskBasel IIIThe Capital Calculation and Return on Capital TargetsBibliography
Chapter 3: Banking and Credit Risk
Credit Risk PrinciplesCredit RiskCredit RatingsRatings Changes Over TimeUnderstanding Credit RiskExternal Rating Agency Credit RatingsBank Internal Credit RatingsCredit Value-at-RiskVariance–Covariance Credit VaRCredit Limit Setting and RationaleLoan Origination Process StandardsSVA and Credit StrategyBibliography
Chapter 4: A Primer on Securitisation
The Concept of SecuritisationMarket ParticipantsReasons for Undertaking SecuritisationThe Process of SecuritisationIllustrating the Process of Securitisation: Airways No. 1 LimitedCredit Rating ConsiderationsSecuritisation As In-House Deal to Create CollateralThe Securitisation Market Post-2008Impact on Rating AgenciesSecuritisation Objectives in the Basel III EnvironmentSecured Funding ValueReferences
Chapter 5: The Yield Curve
Importance of the Yield CurvePart IThe Money Market Yield CurveUsing the Yield CurveTypes of Yield CurveAnalysing and Interpreting the Yield CurveFurther Views on the Yield CurvePart IIA Further Look At Spot and Forward RatesSpot Rates and Forward Rates In Continuous TimeThe Determinants of the Swap SpreadPart IIIFitting the Yield CurveYield-Curve SmoothingImplementing Curves in Practice Multi-Currency Yield CurvesA Secured Funding CurveAppendicesAppendix 5.1 Jensen's Inequality and the Shape of the Yield CurveAppendix 5.2 Testing the Unbiased Expectations HypothesisAppendix 5.3 Linear Regression: Ordinary Least SquaresAppendix 5.4 Illustration of Forward Rate Structure When The Spot Rate Structure Is IncreasingAppendix 5.5 Regression SplinesAppendix 5.6 Cubic Spline InterpolationAppendix 5.7: Summary of Collateral ClassesReferences and bibliography
Part II: Bank Asset and Liability Management
Chapter 6: Asset–Liability Management I
Basic ConceptsLiquidity GapManaging LiquidityThe Liquidity RatioSovereign Bond Portfolio for Interest-rate HedgingReferences
Chapter 7: Asset–Liability Management II
IntroductionBasic ConceptsInterest-rate Risk and SourceThe ALM DeskLiquidity and Interest-rate RiskCritique of the Traditional ApproachThe Cost of FundingGeneric ALM Policy for Different BanksSecuritisationMiddle-Office Treasury Procedures and ALM PracticeAppendix 7.1 NPV and Value-at-Risk (VaR)References and Bibliography
Chapter 8: Asset–Liability Management III: Trading and Hedging Principles
Trading ApproachRepo Market Specials TradingInterest-Rate Hedging ToolsInterest-Rate Swap Hedging ApplicationsInterest-Rate Risk Exposure and Option HedgingHedging Using Bond Futures ContractsThe Primary Hedge Measure: Bond Modified Duration and PV 01Hedging Credit Risk with Credit DerivativesReferences
Chapter 9: Asset–Liability Management IV: The ALCO
ALCO PolicyALCO Reporting
Chapter 10: The ALCO: Terms of Reference and Treasury Operating Model
The ALCO Governance ModelALCO ReportingThe Group ALCOAdditional MI Content of the Regional ALCO PackTreasury Organisation StructureTreasury Operating Model
Chapter 11: Risk Reporting, Risk Policy and Stress Testing
High Level Mapping of RiskPortfolio Credit Risk ReportingPortfolio Risk ReportingRisk PolicyProduct Line Risk ReportingBusiness Line ReportingStress Testing PolicySample Stress Test ResultsScenario Analysis: Economic Downturn Stress Test ReportStressed VaR
Part III: Bank Liquidity Risk Management
Chapter 12: Principles of Bank Liquidity Management
Bank LiquiditySustainable Banking: Nine principles of Bank Liquidity Risk ManagementLiquidity Risk Management: The United Kingdom Regulator's ViewThe Bank Liquidity Policy StatementPolicy on Intra-group LendingThe Liquid Asset BufferCentral Bank FacilitiesLiquidity Management and CollateralThe Contingency Funding PlanReferences and Bibliography
Chapter 13: Liquidity Risk Metrics
Six Key Liquidity MetricsStrategic Level Liquidity MetricsTactical Level Liquidity MetricsExternal and Comparative Liquidity MetricsConclusionReferences and Bibliography
Chapter 14: Liquidity Risk Reporting and Stress Testing
Liquidity Risk ReportingStress Test Reports
Chapter 15: Internal Funds Pricing Policy
The Concept of Internal Funds PricingBenchmark Funds Transfer Pricing PolicyFunding Management: Derivatives Collateral and LiquidityDerivatives Funding PolicyPricing LiquidityTemplate Funds Transfer Pricing DocumentReferences and Bibliography
Part IV: Bank Strategy and Governance
Chapter 16: Bank Strategy I: Formulating Strategy and Direction
The Sustainable Bank Business ModelStrategy InputsFormulating Sustainable BankingLiquidity As Asset ClassConclusionAppendix 16.1: The Leading Economic IndicesReferences
Chapter 17: Bank Strategy II: Capital and Funding Management
Textbook treatment of bank capitalCapital Management PolicyCapital Management, Systemic Risk and Macroprudential StrategyBenchmarking with the MarketAn integrated capital and liquidity management strategyCapital Management: Capital InstrumentsCapital Management StrategyThe Basel Pillar III disclosureReferences and Bibliography
Chapter 18: Principles of Corporate Governance
Effective Bank Corporate Governance: Conclusions from the Market CrashMarket ObservationsConclusionPolicy recommendationsManagement structureGovernance and Sustainable BankingReferences
Part V: Applications Software, Policy Templates and Teaching Aids
Chapter 19: Applications software, policy templates and spreadsheet models
Excel SpreadsheetsLecture Material: Powerpoint SlidesLiquidity Metrics SpreadsheetsPolicy Document TemplatesReporting Template SpreadsheetsStress Testing Report TemplatesYCF Cubic B-Spline Yield Curve ApplicationReferences
Afterword
List of Terms and Their Abbreviations
Index

Content preview from The Principles of Banking

Part II

Bank Asset and Liability Management

Part I was a primer on banking, the elements of which all feed into the essence of banking, which is asset-liability management (ALM). We are in a position now to introduce ALM itself. In Part II of the book we review the main strands of the discipline, including a look at the role of the ALM Committee (ALCO) and ALCO reporting. This covers the terms of reference of the ALCO, a look at the main drivers of the ALCO agenda, and the management information (MI) content essential to effective ALCO governance. It also includes a detailed look at the organisation of the Group ALCO (GALCO) function in a multinational or multi-entity bank.

We further consider basic trading and hedging principles, and the role of risk reporting and stress testing.

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.

Read now

Unlock full access

More than 5,000 organizations count on O’Reilly

O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.

Julian F.

Head of Cybersecurity

I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.

Addison B.

Field Engineer

I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.

Amir M.

Data Platform Tech Lead

I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.

Mark W.

Embedded Software Engineer

Publisher Resources

ISBN: 9780470827024Purchase book

Cloud Computing

Data Engineering

Data Science

AI & ML

Programming Languages

Software Architecture

IT/Ops

Security

Design

Business

Soft Skills

The Principles of Banking

by Moorad Choudhry

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.