The Moorad Choudhry Anthology E-Book

Moorad Choudhry

• Herausgeber: John Wiley & Sons
• Kategorie: Fachliteratur
• Serie: Wiley Finance Editions
• Sprache: Englisch

Seitenzahl: 2062

Veröffentlichungsjahr: 2018

Beschreibung

The definitive and timeless guide to the principles of banking and finance,  addressing and meeting the challenges of competition, strategy, regulation and the digital age.

Moorad Choudhry Anthology compiles the best of renowned author Professor Moorad Choudhry's incisive writings on financial markets and bank risk management, together with new material that reflects the legislative changes in the post-crisis world of finance and the impact of digitization and global competition. Covering the developments and principles of banking from the 1950s to today, this unique book outlines the author's recommended best practices in all aspects of bank strategy, governance and risk management, including asset-liability management, liquidity risk management, capital planning, Treasury risk, and corporate framework, and describes a "vision of the future" with respect to a sustainable bank business model. You will gain the insight of a global authority on topics essential to retail, corporate, and investment/wholesale banking, including strategy, risk appetite, funding policies, regulatory requirements, valuation, and much more. The companion website is a goldmine for senior practitioners that provides templates that can applied in virtually any bank, including policy documents, pricing models, committee terms of reference, teaching aids and learning tools including PowerPoint slides and spreadsheet models. These facilitate a deeper understanding of the subject and the requirements of the senior executive, making this book an ideal companion for practitioners, graduate students and professional students alike.

The intense demand for knowledge and expertise in asset-liability management, liquidity, and capital management has been driven by the regulatory challenges of Basel III, the European Union’s CRDIV, the Volcker Rule, Dodd-Frank Act, and a myriad of other new regulations. This book meets that need by providing you with a complete background and modern insight on every aspect of bank risk management.

• Re-engage with timeless principles of finance that apply in every market and which are the drivers of principles of risk management
• Learn strategic asset liability management practices that suit today's economic environment
• Adopt new best practices for liquidity models and choosing the appropriate liquidity risk management framework
• Examine optimum capital and funding model recommendations for corporate, retail, and investment/wholesale banks
• Dig deeper into derivatives risk management, balance sheet capital management, funding policy, and more
• Apply best-practice corporate governance frameworks that ensure a perpetual and viable robust balance sheet
• Adopt strategy formulation principles that reflect the long-term imperative of the banking business

In the 21^st century more than ever banks need to "re-learn" traditional risk management principles and apply them every day. Every bank in the world needs to be up to speed on these issues, and Anthology from Professor Moorad Choudhry is the answer to this new global policy response.

Leseprobe

Table of Contents

Cover

Title Page

Foreword Paul Fisher

NOTES

Foreword Professor Alexander Lipton

Foreword Rundheersing Bheenick

Preface

ORGANISATION OF THE BOOK

ACCOMPANYING WEBSITE

ADDITIONAL CONTRIBUTORS

Acknowledgments

THE “UB40” VERY SPECIAL THANKS

THANKS FOR GREAT LEADERSHIP

A GENUINE TEAM: NEWDIGATE FOOTBALL CLUB

NEAL ARDLEY FAN CLUB

SPECIAL BANKS THANK YOU

GOODBYE

FINALLY, A SPECIAL SOMETHING …

NOTE

About the Author

List of Extract Book Titles

PART I: Principles of Banking, Finance and Financial Products

CHAPTER 1: A Primer on Banking, Finance and Financial Instruments

AN INTRODUCTION TO BANKING

AN INTRODUCTION TO DEBT FINANCIAL MARKETS

AN INTRODUCTION TO FINANCIAL MARKET PRODUCTS

BANK STRUCTURES AND BUSINESS MODELS

APPENDIX 1.A: Financial Markets Arithmetic

APPENDIX 1.B: Leadership Lessons From The World of Sport

APPENDIX 1.C: The Global Master Repurchase Agreement

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 2: Derivative Instruments and Hedging

ASSET SWAPS AND RELATIVE VALUE

POST‐2008 CRASH SWAP DISCOUNTING AND VALUATION PRINCIPLES

APPENDIX 2.A: The Par Asset Swap Spread

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 3: The Yield Curve

CONSTRUCTING THE BANK'S INTERNAL YIELD CURVE

MARKET APPROACH FOR FTP CURVE CONSTRUCTION

APPLICATION OF ORDINARY LEAST SQUARES METHOD AND NELSON‐SIEGEL FAMILY APPROACHES

SONIA YIELD CURVE

CONCLUSION

APPENDIX 3.A: ALCO Submission Paper

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 4: Eurobonds, Securitisation and Structured Finance

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

PART II: Bank Regulatory Capital and Risk Management

CHAPTER 5: Banks and Risk Management

THE RISK MANAGEMENT UNIVERSE FOR BANKS

POLICY TEMPLATES

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 6: Banks and Credit Risk

UNDERSTANDING AND MANAGING CREDIT RISK: PART 1

DE(RE)CONSTRUCTING THE B2 CREDIT RISK AIRB FORMULA

UNDERSTANDING AND MANAGING CREDIT RISK: PART 2

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 7: Understanding and Managing Operational Risk

OPERATIONAL RISK OVERVIEW

CONDUCT RISK

OPERATIONAL RISK MEASUREMENT

OPERATIONAL RISK MEASUREMENT CONCEPTS

BASIC INDICATOR APPROACH

STANDARDISED APPROACH

ADVANCED MEASUREMENT APPROACH

KEY RISK INDICATORS

OPERATIONAL RISK MANAGEMENT FRAMEWORK

OPERATIONAL RISK CAPITAL ALLOCATION

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 8: Regulatory Capital and the Capital Adequacy Assessment Process

REGULATORY CAPITAL FRAMEWORK

CAPITAL AND BALANCE SHEET MANAGEMENT AND THE ICAAP PROCESS

CAPITAL ADEQUACY AND STRESS TESTING

PRACTICAL ISSUES AND BEST‐PRACTICE ICAAP PREPARATION

CONCLUSIONS

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 9: Financial Statements, Ratio Analysis, and Credit Analysis

FINANCIAL RATIO ANALYSIS

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

PART III: Bank Treasury and Strategic Asset–Liability Management

CHAPTER 10: The Bank Treasury Operating Model and ALCO Governance Process Best‐Practice

THE TREASURY AND ALCO OPERATING MODELS: SINGLE LEGAL ENTITY STRUCTURE

THE TREASURY AND ALCO OPERATING MODELS: GROUP STRUCTURE

TREASURY POLICY STATEMENT: EXAMPLE TEMPLATE

CONCLUSION

APPENDIX 10.A: Bank Asset and Liability Management Committee (ALCO) Template Terms of Reference

APPENDIX 10.B: Liquidity Risk Early Warning Indicators (EWI) Template

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 11: Bank Asset–Liability Management (ALM) and “Strategic ALM”

THE BALANCE SHEET RISK TRIUMVIRATE: THE INTERACTION OF THE ALM FUNCTION WITH MARKETS, FINANCE, AND RISK

STRATEGIC ALM

IMPLEMENTING STRATEGIC ALM

INVESTOR RELATIONS (IR) AND THE CREDIT RATING PROCESS

CONCLUSIONS

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 12: Liquidity and Funding: Policy, Management, and Risk Management

PART 1: LIQUIDITY RISK AND LIQUIDITY RISK MANAGEMENT

PART 2: ILAAP AND STRESS TESTING

BANK INTERNAL FUNDS TRANSFER PRICING (FTP OR IFP)

OPTIMUM LIABILITIES STRATEGY AND MANAGING THE LIQUID ASSETS BUFFER

COLLATERAL FUNDING MANAGEMENT, FVA, AND CENTRAL CLEARING FOR OTC DERIVATIVES

NEGATIVE INTEREST RATES AND THE IMPACT ON ALM POLICY

PART 3: SUMMARY AND ANALYSIS OF PRA CP21/16 AND CP13/17: “PILLAR 2: LIQUIDITY”

PART 4: SAMPLE POLICY STATEMENTS

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 13: Market Risk and Non‐Traded Market Risk (Interest‐Rate Risk in the Banking Book)

UNDERSTANDING AND MANAGING MARKET AND INTEREST‐RATE RISKS

MANAGING INTEREST‐RATE RISK IN THE BANKING BOOK (IRRBB)

BCBS386: THE BASEL COMMITTEE AND HIGH LEVEL PRINCIPLES FOR INTEREST‐RATE RISK IN THE BANKING BOOK

ILLUSTRATION: STRATEGIC ALM POLICY AND APPROACH TO IRRBB

INTEREST‐RATE RISK POLICY AND ALCO

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 14: The Future of Bank Treasury and Balance Sheet Risk Management

THE NEW TREASURY

THE TREASURY “SECOND LINE OF DEFENCE”

TREASURY AND THE RISK TRIUMVIRATE: THE NEED FOR AN AGGREGATE APPROACH ENABLING INTEGRATED MANAGEMENT OF THE BALANCE SHEET

APPENDIX 14.A:  Sample Group ALCO Template

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 15: Regulatory Reporting and Principles of Policy Documentation

REGULATORY REPORTING FOR CAPITAL AND LIQUIDITY

PRINCIPLES OF POLICY DOCUMENTATION

TEMPLATE POLICY DOCUMENTATION

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

PART IV: The Future of Banking: Strategy, Governance and Culture

CHAPTER 16: Strategy Setting: Principles for Sustained Bank Viability

BANK STRATEGY INPUTS AND SETTING

FROM VISION TO A STRATEGIC PLAN

EXAMPLE: “SWOT” ANALYSIS FOR MEDIUM‐SIZED UK COMMERCIAL BANK

CONCLUSIONS

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTES

CHAPTER 17: Present and Future Principles of Governance and Culture

CORPORATE GOVERNANCE WITHIN BANKING

THE ROLE OF LEADERSHIP AND TEAMBUILDING EXCELLENCE IN GOOD BANKING

CONCLUSIONS

SELECTED BIBLIOGRAPHY AND REFERENCES

NOTE

CHAPTER 18: Present and Future Principles of Banking: Business Model and Customer Service

WEBSITE READING

CUSTOMER SERVICE MODEL: THE MODEL BANK

CHOUDWEST BANK: THE MODEL BANK AND “CONCIERGE BANKING”

APPENDIX 18.A: Basic Principles of Bank Marketing

NOTES

PART V: Case Studies: Analysis, Coherent Advice and Problem Solving

CHAPTER 19: Case Studies: Analysis, Coherent Advice and Problem Solving

COHERENT ADVICE AND PROBLEM SOLVING: CASE STUDIES

CASE STUDY: REVIEW OF BANK FUNDING STRUCTURES 1999–2009

CASE STUDY: HIGH‐LEVEL STRATEGIC BANK REVIEW

CONCLUSION

APPENDIX 19.A: Sample Review Questions

SELECTED BIBLIOGRAPHY AND REFERENCES

CHAPTER 20: Guide to the Website

CHAPTER FILES

NOTES

Afterword

Index

End User License Agreement

List of Tables

Chapter 1

Table P.1 Selected banking activities and services

Table P.2 European regional bank, earnings structure 2004

Table 1.1 Bank analysis ratios for capital strength

Table 1.2 Timeline

Table 1.3 Components of a bank balance sheet

Table 1.4 Components of a bank income statement, typical structure for a retail bank

Table 1.7 Selected global currency conventions

Table 1.1 Selected Government Bond Market Characteristics

Table 1.2 Selected Government Bond Markets, Yield Curves as at 2 December 2013

Table 1.5 Selected Country Market Accrued Interest Day‐Count Basis

Table 4.1 Terms of classic repo trade.

Table 4.2 Summary of highlights of classic repo and sell/buy‐back.

Table 4.3 Stock loan transaction.

TABLE 1.1 “Cash” Products

Table B.1 Discount Factor Table

Chapter 2

Table 13.1 Description of LIFFE short sterling future contract

Table 13.4 Basic option terminology

Table 13.5 Bank simplified gap report

Table 13.6 Net interest income scenarios

Table 13.7 Net interest income and option hedge

Table 13.1 Three‐Year Cash Flows

Table 13.2 Swap Quotes

Table 13.3 Generic Interest‐Rate Swap

Table 13.4 Generic Interest‐Rate Swap (Excel formulae)

Table 12.1 CBOT U.S. T‐Bond Futures Contract Specifications

Table 12.3 Bond Futures Hedge for Hypothetical Gilt Portfolio, 20 October 1999

TABLE 2.3 Conversion factors for deliverable gilts, Dec00 to Mar02 long gilt contracts.

Table 2.3 Sample 5‐year CDS premiums, September 2003.

Table 2.1 Jackfruit Music Ltd, buying bonds versus selling protection.

Table 2.2 Cash versus synthetic market considerations.

Table 2.4 Sample 5‐year CDS premiums, 8 December 2008.

Table 1.1 Example of CDS spread pricing

Chapter 3

Table 5.1 Coupon, spot and forward yields.

Table 5.2 Hypothetical set of bonds and bond prices.

Table 5.3 Discount factors calculated using the bootstrapping technique.

Table 5.9 Correlation between the USD 10‐year swap spread, the CBOE VIX index, the 10‐year US Treasury yield and the CBOE VIX index.

Table 12.1 Duration and yield comparisons for bonds in a hypothetical inverted curve environment, October 1999.

Table 12.2 Yields and excess yield spreads for selected gilts, 22 October 1999.

Table 12.2 Bond basis point value, 22 October 1999.

Chapter 4

Table 6.1 Selected Eurobond issues in first half of June 2005.

Table 6.2 Expense elements, Eurobond issue.

Table 7.4 ABC plc 10% 2019 Convertible Hypothetical Bond Terms.

Table 8.1 Summary of credit rating agency bond ratings.

Table 8.2 Average CDO portfolio losses and tranche write‐down. Source: JPMorgan

Chapter 5

Table 1.1 Characterising risk.

Table 2.1 Calculation of standard deviation.

Table 2.2 Standard deviation.

Table 2.3 Probabilities extracted from the normal distribution table.

Table 2.4 Normal distribution illustrated for portfolio return.

Table 2.5 Correlation.

Table 3.1(i) Two‐asset portfolio VaR.

Table 3.1(ii) Spreadsheet formulae for Table 3.1(i).

Table 3.2 Asset correlation.

Table 3.3 Correlation matrix: three‐asset portfolio.

Table 3.7 Comparison of VaR methods.

Chapter 6

TABLE 6.1 Formulae and description for the key ratios

Table 3.5 Moody's recovery rates for varying levels of loan seniority, 2006.

Chapter 7

TABLE 7.1 Operational risk failure: types and examples

Chapter 8

TABLE 8.1 Overview of the ICAAP processes

TABLE 8.2 AT1 and T2 instrument requirements

TABLE 8.3 Basel III Final Form key features

TABLE 8.4 Level 1 risk taxonomy

TABLE 8.5 Example risk indicator levels

TABLE 8.6 Sample Incorporation of an Institution's Relevant Risk Types in the ICAAP

TABLE 8.7 Capital management risk taxonomy

TABLE 8.8 MIRA material risks

TABLE 8.9 SREP slide

TABLE 8.10 Point‐in‐time capital assessment

TABLE 8.11 Base Case capital projection

TABLE 8.12 Summary of potential management actions in stress

Chapter 9

TABLE 9.1 Constructa plc RONA ratio measures

TABLE 9.2 UK plc corporate performance 1995–1999

TABLE 9.3 Constructa plc corporate‐level ratios

TABLE 9.4 Hypothetical company results

TABLE 9.5 Gearing ratios

TABLE 9.6 Comparable company financial indicators, year 2000

TABLE 9.7 Peer group company ratios, mean values, and Constructa plc market valuation

Table 4.1 S&P ratio benchmarks, 1997.

Chapter 10

Table 8.1 ALCO main mission

Table 10.1 ALCO membership.

Table 10.4 Hypothetical capital approval limit structure.

Table 10.8 Bank operating functions relevant to Treasury.

Chapter 11

Table 5.1 Simplified ALM profile for regional European bank

Table 5.2 Funding the liquidity gap: two examples

Table 5.3 XYZ Securities Limited ALM report and profile

Table 5.4 Assumed XYZ Securities Ltd FRN book (yields represent market rates as at September 2004)

Table 6.1 Hypothetical money market rates

Table 6.2 Example gap profile: UK bank

Table 6.3 Detailed gap profile: UK bank

Table 6.4 Banking book PVBP grid report

TABLE 11.1 Summary of asset–liability policy guide

TABLE 11.2 Lending Products across Divisions

TABLE 11.3 Third Party Assets and Liabilities

Chapter 12

Table 12.1 Group organisation ALCO roles.

Table 13.1 LTD gap assumptions and definitions.

Table 13.2 Sample liquidity ratio report extract, banking group.

Table 13.3 Liquidity report and liquidity ratio calculation.

Table 13.4 Liquidity risk factor.

Table 13.5A Large depositors as percentage of total funding report.

Table 13.5B Largest depositors report.

Table 13.6 Sector funding source report.

Table 13.7 Sample inter‐group lending report.

Table 13.10 Cash flow survival horizon and outflow limit metric.

Table 13.11 Short‐term wholesale funding report.

Table 13.12 Liquidity risk appetite.

TABLE 12.1 MTA balances observation

TABLE 12.2 Savings deposits balances observation

TABLE 12.3 Behavioural tenor via balance observation, by account cohort

TABLE 12.4 Deposit outflow results, UK commercial bank

TABLE 12.5 LCR report summary

TABLE 12.6 UK PRA ILAA report summary

TABLE 12.7 Three broad categories used to formulate the nature of certain events in a bank

TABLE 12.8 Three sample regulatory frameworks

TABLE 12.9 Two minimum standards for liquidity

TABLE 12.10 Example LCR denominator calculation

TABLE 12.11 Operational and non‐operational deposits

TABLE 12.12 Stable and less stable deposits

TABLE 12.13 Deposit outflow assumptions, extract of product and customer breakdown for a UK bank

TABLE 12.14 LCR calculation for a European commercial bank

TABLE 12.15 Competitor deposit interest rates template, UK banking market. XYZ Bank is “our” bank

TABLE 12.16 NSFR calculation

TABLE 12.17 Risk areas banks account for when formulating liquidity stresses

TABLE 12.18 Type A versus Type B deposits

TABLE 12.19 Specimen ILAA Contents

TABLE 12.20 Hypothetical bank internal funds price curve (“FTP” or “TLP” curve)

TABLE 12.21 Undrawn commitments FTP pricing grid

TABLE 12.22 Considerations during the liabilities strategy setting stage

TABLE 12.23 Sample of potential range of liabilities strategies

TABLE 12.24 Requirements for LAB (or HQLA) eligibility

TABLE 12.25 Illustration maximum net debit for given day

TABLE 12.26 Illustration mean average maximum net debit

TABLE 12.27 Worked example of “Pillar 2” implementation of liquidity risk and LCR calculation

Chapter 13

Table 15.4 Calculation of interest‐rate risk sensitivities for a 4‐year bond, given a zero‐coupon curve

Table 15.5 Table showing Excel formulas

Table 15.6 Bond convexity calculation

Table 15.7 Convexity calculation spreadsheet formula

Table 15.8 Futures hedge calculation spreadsheet

Table 15.9 Table 15.8 with Microsoft Excel formulas shown

TABLE 13.1 Specimen Interest Rate Gap Report

TABLE 13.2 Specimen NII sensitivity calculation

TABLE 13.3 Illustrative Maturity Schedule Time Buckets for EVE Calculation

TABLE 13.4 Specimen interest‐rate gap report for a 5‐year fixed‐rate bullet loan funded by a 3‐month deposit

TABLE 13.5 Specimen interest‐rate gap report for a 5‐year fixed‐rate bullet loan funded by a 3‐month deposit hedged by an interest rate swap

TABLE 13.6 Bank IRR repricing gap example

TABLE 13.7 Natural cash hedging arising out of normal customer business (fixed‐rate against fixed‐rate and current account in credit against overdrafts)

Chapter 14

TABLE 14.1 Scope of Treasury activities, reprised

Chapter 15

TABLE 15.1 Changes to Gabriel Reporting under COREP and FINREP

TABLE 15.2 Intra‐day monitoring tools

Chapter 16

Table 16.1 Bank strategy setting: quantitative targets.

Table 16.2 Performance against strategy: example quarterly report.

TABLE 16.1 Strategic metrics and KPIs

Chapter 17

Table 18.1 Bank governance: committee overview.

Table 17.1 Examples of Board sizes and committees

Table 17.2 Example of Board meeting frequencies over time

Chapter 18

TABLE 18.1 Sample of customer issues with their banking services

TABLE 18.2 Crowded competitive landscape – no single bank meets all customer types' requirements

Chapter 19

TABLE 19.1 EAB deposit rates as at January 2009

TABLE 19.2 Regime implemented at the London subsidiary

TABLE 19.3 EAB deposit rates as at June 2009

TABLE 19.4 Final EAB FTP monthly curve format

TABLE 19.5 Other arrangements

TABLE 19.6 UK commercial bank IRRBB reporting

TABLE 19.7 Template to determine cost of holding standalone deposits inclusive of Liquidity Buffer costs

List of Illustrations

Chapter 1

Figure 1.1 Scope of banking activities

Figure 1.2 Composition of earnings

Figure 1.5 The structure of the money market

Figure 1.6 Bloomberg page DES for Australian dollars

Figure 1.7 Bloomberg page DES for Brazilian real

Figure 1.8 Bloomberg page DES for Egyptian pound

FIGURE 1.1 Libor screen on Bloomberg, 13 September 2016.

FIGURE 1.2 Libor history 2011–2016.

FIGURE 1.3 Sterling curves, 13 September 2016.

Figure 1.1 Bloomberg screen DCX used for US dollar market, three‐month loan taken out 7 May 2004

Figure 1.2 Bloomberg screen DCX for Singapore dollar market, three‐month loan taken out 7 May 2004

Figure 1.3 London sterling money market rates. Extract from

Financial Times

, 11 March 2004.

Figure 2.1 Bloomberg major currency monitor page, 10 May 2004

Figure 1.1 Bloomberg Screen DES Showing Details of 4⅝ % 2010 Issued by Republic of Singapore as of 20 October 2003

Figure 1.3 Bloomberg YA Page for Yield Analysis

Figure 1.4 The Price/Yield Relationship

Figure 4.1 Classic repo transaction for 100‐worth of collateral stock.

Figure 4.2 Diagram of classic repo trade.

Figure 4.3 Bloomberg screen RRRA for classic repo transaction, trade date 5 July 2000.

Figure 4.4 Bloomberg screen for the classic repo trade illustrated in Figure 4.5.

Figure 4.5 Corporate treasury classic repo.

Figure 4.12 Bloomberg screen used to calculate nominal value of collateral required in a stock loan transaction.

Figure 4.20 Illustration of variation margin process

Chapter 2

Figure 13.1 Key dates in an FRA trade

Figure 13.2 Rates used in FRA pricing

Figure 13.6 LIFFE short‐sterling contract analysis, 25 March 2004

Figure 13.7 LIFFE short‐sterling forward rates analysis, 25 March 2004

Figure 13.8 Bloomberg page DES for Eurodollar contract

Figure 13.9 Bloomberg screen TED page, used to calculate hedge requirements for UK 8½% 2005 gilt, 11 November 2003

Figure 13.13 Payoff profile for a bond futures contract

Figure 13.14 Payoff profile for call‐option contract

Figure 13.15 Basic option payoff profiles

Figure 13.1 Cash Flows for Vanilla Interest‐Rate Swap

Figure 13.2 Libor‐OIS Spread, 2002–2008

Figure 13.5 SONIA Average Rate Minus BoE Repo Rate, 1999–2000

Figure 13.6 Tullet US Dollar Deposit Rates, 10 November 2003

Figure 13.7 Garban ICAP U.S. Dollar OIS Rates, 10 November 2003 Used with permission of Bloomberg L.P.

Figure 13.8 Illustration of Interest Basis Mismatch Hedging Using OIS Instrument

Figure 12.1 Bond Futures Delivery Quotes, Bloomberg Page DLV, 2 December 2013

FIGURE 2.6 Delivery basket for Jun00 long gilt, Bloomberg page DLV, 15 March 2000.

Figure 2.7 Bloomberg YA page for

2010 gilt, showing accrued interest for value 13 August 2001.

Figure 2.8 Bloomberg DLV page for Sep01 (U1) gilt contract, showing gross basis, net basis and IRR for trade date 12 August 2001.

Figure 2.9 Bloomberg HCG page for Sep01 (U1) gilt contract, showing CTD bond history up to 12 August 2001 with changes in futures price.

Figure 2.10 Bloomberg HCG page for Sep01 (U1) gilt contract, showing CTD bond history up to 12 August 2001, with changes in IRR.

Figure 2.5 Credit derivatives isolate credit as an asset class and risk element.

Figure 2.6 Credit default swap (CDS).

Figure 2.7 Investment‐grade CDS levels, 2001–2002.

Figure 2.25 Total return swap.

Figure 1.10 Illustration of cash flows in a default swap

Figure 1.11 Bloomberg page CDSW using modified Hull‐White pricing for selected credit default swap, April 12, 2006

Figure 19.2

Bloomberg Page IRSB for Pounds Sterling, Showing GBP Swap Rates and Swap Spread over U.K. Gilts

Figure 19.3 Bloomberg Page ASW for GKN Bond, August 10, 2005

Figure 19.4 Bloomberg Page YAS for GKN Bond, August 10, 2005

Figure 19.5 Bloomberg Page YAS for GKN Bond, August 10, 2005 Showing Z‐Spread History

Figure 19.7 Bloomberg Graph Using Screen G <GO>, Plot of Asset‐Swap Spread and CDS Price for GKN Bond, April–September 2005

Figure 19.8 GKN Bond, CDS Basis During August–September 2005

FIGURE 2.1 Worked example of a Euribor swap

FIGURE 2.2 Cross‐currency basis swap example

FIGURE 2.3 Swap transacted under a CSA agreement

FIGURE 2.4 GBP Swaps and OIS curves, September 2016

FIGURE 2.5 Impact of discount rate on swap NPV

FIGURE 2.6 Relationship between Libor and discount factors

FIGURE 2.7 How collateral impacts the discount rate

FIGURE 2.8 Separating the forecasting and discounting curve

FIGURE 2.9 Valuing a collateralised swap

FIGURE 2.10 Combined interest flows of the loan and the interest rate swap

FIGURE 2.11 No application of hedge accounting

FIGURE 2.12 Application of fair value hedge accounting

Chapter 3

Figure 5.1 Bloomberg screen BBAM, daily Libor fixing page, as at 10 May 2004.

Figure 5.2 Bloomberg screen ICAU2, Garban ICAP broker's price screen for US dollar OIS swaps, 10 May 2004.

Figure 5.3 Eurodollar yield curve, 10 May 2004.

Figure 5.4 Bloomberg screen MMCV, inter‐bank fixings for HKD and SGD, and AUD deposit rates as at 6 September 2004.

Figure 5.5 YTM yield curves.

Figure 5.6 US menu page from screen IYC on Bloomberg.

Figure 5.7 US yield curves, August 2006.

Figure 5.8 Coupon yield curves.

Figure 5.10 Redemption, spot and forward yield curves: traditional analysis.

Figure 5.11 Discount function.

Figure 5.24 Tullet & Tokyo brokers USD interest‐rate swaps page on Bloomberg, as at 3 July 2006.

Figure 5.25 US Treasury yield curve as at 3 July 2006.

Figure 5.26 USD and GBP interest‐rate swap spreads over government curve, 1997–2006.

Figure 5.27 Comparison of USD 10‐year swap spread and 3‐month Libor–GC repo spread.

Figure 5.28 GBP swap spreads and gilt spreads compared 1997–2006.

Figure 5.29 VIX index versus US 10‐year swap spread.

Figure 5.30 VIX index versus US 10‐year Treasury.

Figure 5.1 An example of a Weiner process.

Figure 5.2 An example of a Poisson process.

Figure 12.1 Yield and duration of gilts, 21 October 1999.

Figure 12.2 T‐bill and par yield curve, October 1999.

Figure 12.3 Structure of bond yields, October 1999.

FIGURE 3.1 Curve results when employing Nelson‐Siegel and OLS methods

FIGURE 3.2 GBP SONIA and GBP Swap curves, 13 October 2016

Chapter 4

Figure 6.1 Non‐government international bond issuance, 2004–2008.

Figure 7.2 Convertible Bond and Conversion Premium

Figure 8.1 Bloomberg screen RATD showing rating agency investment‐grade ratings scale.

Figure 8.2 Bloomberg screen RATD showing rating agency sub‐investment grade ratings scale.

Exhibit 1.1 The securitization process

Exhibit 1.2 Cash flow waterfall (priority of payments)

Exhibit 1.3 Master trust structure

Exhibit 1.6 Columbus Nova CLO DES page

Chapter 5

FIGURE 5.1 Overview of a risk management framework

Figure 2.1 The log‐normal distribution.

Figure 2.2 Confidence intervals.

Figure 2.3 Differing standard deviations.

Figure 2.4 Differing means around the same standard deviation.

Figure 2.5 Differing standard deviations.

Figure 2.6 Historical volatility chart.

Figure 3.1 VaR and the normal distribution.

Figure 3.2 Matrix variance–covariance calculation for the two‐asset portfolio shown in Table 3.1.

Figure 3.3 PORT screen showing holding of GBP1 million Aston Martin Capital Ltd

2018 sterling corporate bond.

Figure 3.4 PORT screen showing VaR results by methodology, for bond holding at Figure 3.3

Figure 3.5 PORT screen showing the VaR distribution of values by selected confidence interval.

Chapter 6

FIGURE 6.1 Credit loss distribution

FIGURE 6.2 Applying credit loss distributions into capital calculation

FIGURE 6.3 Risky asset portfolio and capital structure

FIGURE 6.4 Summary of a risk‐weighted assets calculation for a retail and corporate customer commercial bank

FIGURE 6.5 Losses to be absorbed by capital

FIGURE 6.6 Loan principal cash flow profile

FIGURE 6.7 Comparison of RAROC versus EVA

Figure 3.5 Notional value risk exposure profiles of different product types.

Figure 3.6 BBB CDS level versus historic recovery rate (rates are average for industry in April 2005).

Figure 3.7 Default rate versus recovery rate.

Figure 3.8 High yield sector default rate versus recovery rate.

Figure 8.4 Comparison of distribution of market returns and credit returns.

Chapter 8

FIGURE 8.1 Recommended governance structure for the ICAAP

FIGURE 8.2 Stylised representation of a typical commercial bank balance sheet

FIGURE 8.3 Expected and unexpected losses

FIGURE 8.4 Capital structure considerations under CRR / CRDIV

FIGURE 8.5 Estimating the combined buffer requirement for a bank under Basel III

FIGURE 8.6 RWA breakdown

FIGURE 8.7 Capital considerations

FIGURE 8.8 Hypothetical new bank capital structure minimum compliance with Basel III

FIGURE 8.9 Formulating capital management strategy

FIGURE 8.10 The Three Pillars of Capital and Risk Management

FIGURE 8.11 Steps involved in the design of ICAAP

FIGURE 8.12 Three‐level scenario

FIGURE 8.13 All‐embracing ICAAP governance process

FIGURE 8.14 Summary of the ICAAP planning and implementation process, linking strategy, and capital management

FIGURE 8.15 Point‐in‐Time Capital Assessment (1‐year horizon) Pillar 1 and Pillar 2A

FIGURE 8.16 Capital surplus / deficit

FIGURE 8.17 ICA timeline

FIGURE 8.18 Projected capital surplus

FIGURE 8.19 Cross‐functional collaboration: Different functions of a bank must work together closely to produce the ICAAP

Chapter 9

FIGURE 9.7 “Three stages” impairment model

FIGURE 9.8 IFRS9 Framework

Chapter 10

FIGURE 10.1 Balance sheet risk management triumvirate

Figure 8.1 ALCO reporting input and output

Figure 10.4 Group Treasury and local ALCO communication structure.

Figure 10.5 GALCO and Group Treasury organisation.

Figure 10.6A Treasury organisation, cost centre.

Figure 10.6B Treasury organisation, profit centre.

FIGURE 10.2 Treasury operating model overview

FIGURE 10.3 Orthodox front‐office Treasury function

FIGURE 10.4 Front‐office Treasury function with Sales function

FIGURE 10.5 Treasury high‐level operating model overview and linkages

FIGURE 10.6 Centralised Group Treasury model

FIGURE 10.7 Centralised Group Treasury model efficiency

FIGURE 10.8 Decentralised Group Treasury model

FIGURE 10.9 Decentralised Group Treasury model efficiency

Chapter 11

Figure 5.1 Cornerstone of ALM philosophy

Figure 5.2 Securities and derivatives trading house ALM profile

Figure 5.3 CP programme liability profile

Figure 5.4 ALM time profile

Figure 5.5 Funding position on a daily basis

Figure 5.6 Cornerstone of ALM philosophy

Figure 5.7 XYZ Securities Limited funding usage and limit report

Figure 5.8 XYZ Securities Limited funding usage by business line

Figure 5.9 FRN book: schematic of booking cash flows

Figure 6.1 Change in spread between the 3‐month prime rate and 3‐month Libor 2005–06.

Figure 6.2 Gap limit report

Figure 6.3 Gap maturity profile in graphical form

Figure 6.4 Gap maturity profile, bank with no short funding allowed

Figure 6.5 Gap maturity profile, UK high‐street bank

Figure 6.6 Liquidity analysis – example of UK bank profile of maturity of funding

FIGURE 11.1 Model A

FIGURE 11.2 Model B

FIGURE 11.3 Model C

FIGURE 11.4 Cost of Basel III implementation

FIGURE 11.5 Mitigating the Impacts of Basel III

FIGURE 11.6 Recommended Board risk appetite statement template

FIGURE 11.7 Recommended bank executive committee organisation structure

FIGURE 11.8 Balance sheet mix optimisation

FIGURE 11.9 Example of peer‐review benchmarking: funding and capital

FIGURE 11.10 Example of peer‐review benchmarking: funding, capital, and profitability

FIGURE 11.11 Example of peer‐review benchmarking: liquid asset buffer

FIGURE 11.12 Example of peer‐review benchmarking: loan‐deposit ratio

FIGURE 11.13 Components of Bank P&L

FIGURE 11.14 NIM System View Selections

FIGURE 11.15 NIM System Product Lines

FIGURE 11.16 NIM system general ledger and P&L structure

FIGURE 11.17 Business line linkage to economic KPIs

FIGURE 11.18 Example illustrations of NIM analysis

FIGURE 11.19 Example illustrations of Balance Sheet and P&L analysis

FIGURE 11.20 Gross interest income expected after user‐specified adjustment to customer and/or funding rates

FIGURE 11.21 Example of drill‐down NIM stress testing capability

FIGURE 11.22 Integrated NIM analytics and liquidity management functionality

FIGURE 11.23 S&P bank ratings approach

FIGURE 11.24 Standard & Poor's (S&P) banks rating methodology summary

Chapter 12

Figure 12.2 Liquidity policy structure.

Figure 12.3 Liquidity policy statement: risk management governance structure.

Figure 12.4 Bank Group ALCO governance structure.

Figure 13.1 LTD funding gap limit.

Figure 13.2 Cumulative liquidity model.

Figure 13.4A Contractual and accelerated amortisation profile, retail mortgages.

Figure 13.4B The cash capital position

Figure 13.5 Encumbered asset ratio trend.

Figure 13.6 Market lock‐out period or “survival period”.

Figure 13.7 Trend of cash outflow survival period.

Figure 13.8A Wholesale liabilities: short term.

Figure 13.8B Wholesale liabilities: long term.

FIGURE 12.1 Contractual ALM gap

FIGURE 12.2 Behavioural ALM gap

FIGURE 12.3 Graphical observation to set tenor

FIGURE 12.4 Committed back‐up facility usage behaviour

FIGURE 12.5 Committed revolving credit facility usage behaviour

FIGURE 12.6 Committed term loan facility usage behaviour

FIGURE 12.7 Derivatives portfolio net cash‐flow tenor profile

FIGURE 12.8 Stress test results: cash‐flow survival horizon

FIGURE 12.9 Stress test results, after mitigating actions

FIGURE 12.10 LCR coverage

FIGURE 12.11 Bank LCR calculation and HQLA result

FIGURE 12.12 Transition to COREP in the European Union

FIGURE 12.13 End‐to‐End Liquidity Stress Testing Process

FIGURE 12.14 Specimen Daily Maximum Liquidity Requirement

FIGURE 12.15 Bank balance sheet and asset encumbrance

FIGURE 12.16(a) Stylised example collateral and encumbrance, Banks A and B

FIGURE 12.16(b) Stylised example collateral and encumbrance, Banks A and B

FIGURE 12.17 Bank FTP curve and other funding curves

FIGURE 12.18 Retail banking FTP regime

FIGURE 12.19 Asset and liabilities interaction

FIGURE 12.20 FTP operation illustration examples

FIGURE 12.21 Committed facility usage profile

FIGURE 12.22 USD Libor‐OIS spread 2002–2010

FIGURE 12.23 Funding breakdown UK banks average, 2007 and 2012

FIGURE 12.24 Hypothetical bank funding curve for an institution raising multiple different liability types

FIGURE 12.25 Deposit product analysis

FIGURE 12.26 Pros and cons of employing the different interest‐rate risk hedging instruments

Figure 3 Sample retail bank customer liabilities strategy

Figure 5 Retail bank performance outlook

FIGURE 12.27 Interest rate simulations

FIGURE 12.28 IRS MtM PV simulations

FIGURE 12.29 Cross Currency Swap Mark‐to‐Market PV simulations

FIGURE 12.30 Comparing IRS and XCY expected exposures

FIGURE 12.31 Expected swap exposure through life

FIGURE 12.32 Derivatives funding curve as secured funding COF

FIGURE 12.33 Uncollateralised derivatives net position FTP pricing

FIGURE 12.34 Customer IRS and hedging IRS

FIGURE 12.35 Factors related to xVAs and derivatives valuation

FIGURE 12.36 10‐year bond yields

FIGURE 12.37 Flattening yield curves

FIGURE 12.38 Discount function for positive and negative interest rates

FIGURE 12.39 Cash flow illustration and compliant LCR value – no cumulative liquidity shortfall bank

FIGURE 12.40 Cash flow illustration and compliant LCR value – cumulative liquidity shortfall bank

Chapter 13

Figure 15.2 Asset‐swap spread on screen ASW, France Telecom 3.625% 2015 bond, 9 December 2005

Figure 15.3 Cash–CDS basis for France Telecom, 9 December 2005

Figure 15.4 One‐year historical CDS–ASW spread, France Telecom, December 2005

Figure 15.5 France Telecom bond YAS page for asset‐swap and z‐spreads, 10 January 2006

Figure 16.11 Investment‐grade credit default swap levels, 2003–2004

Figure 16.12 Bloomberg screen WCDS showing extract of world CDS prices, as at 6 July 2006

Figure 16.31 Bloomberg screen HG showing implied price and market price for British Airways 10.875% 2008 bond, as at 11 December 2006

FIGURE 13.1 The Volatility of UK Interest Rates over time

FIGURE 13.2 Interest‐rate swap hedge

FIGURE 13.3 A Comparison between Sterling 1‐month and 3‐month Inter‐bank Lending Rates

FIGURE 13.4 Period 1 – Amortising Pay Fixed Swap hedge aligned to anticipated behavioural run‐off profile of a loan cohort

FIGURE 13.5 Period 2 – General level of interest rates falls so loans anticipated to repay quicker than original assumption

FIGURE 13.6 Period 2 – Balloon receive fixed swap is written to re‐align swap hedge to behavioural loan run‐off profile

FIGURE 13.7 Typical Timeline for a 5‐year Fixed Rate Mortgage Offer

Chapter 14

Figure 1.15 Centralised bank risk management, overseeing bank business lines.

Figure 1.16 Centralised bank risk management, breakdown into individual risk departments.

FIGURE 14.1 Managing the impact of Basel III

FIGURE 14.2 Group Treasury structure

FIGURE 14.3 Sample separation of duties

FIGURE 14.4 Treasury Risk target operating model

FIGURE 14.5 Areas benefitting from integrated risk management

FIGURE 14.6 Samples of workstreams as part of regulatory requirements

FIGURE 14.7 Sample of areas requiring cross‐departmental coordination and cooperation

FIGURE 14.8 Stress testing approaches

Chapter 15

Figure 15.5 Funding concentration policy, template example.

Chapter 16

Figure 17.5 Capital and liquidity trade‐off.

Figure 17.6 Recommended capital and liquidity position.

Figure 9.1 Bank Median Leverage Ratios, 2007–2009

Figure 9.2 Selected Bank Ratios of Total Assets to Tier 1 Capital and Trading Assets to Total Assets

Figure 9.4 Cross‐Border Bank Lending Volumes, 2000–2009

FIGURE 16.1 Leadership Commitment

FIGURE 16.2 Strategy‐setting cycle, pre‐crash

FIGURE 16.3 Strategy‐setting cycle, post‐crash

FIGURE 16.4 UK banks customer funding gap, 1997–2009

Chapter 17

Figure 18.1 Examples of board structure.

Figure 18.4 Standard organisation structure.

Figure 18.5 Board and management committee structure.

FIGURE 17.1 Board Governance Structures

FIGURE 17.2 Total banking leadership concept, Bluebird Treasury team 2013‐14

Chapter 18

FIGURE 18.1 Creating a value proposition that delivers concierge banking

FIGURE 18.2 Addressing customer issues: 1. Why can't I be treated as more than just a number?

FIGURE 18.3 Addressing customer issues: 2. Why should I settle for “computer says no” banking, or busy call centres where my query is simply passed down the conveyor belt?

FIGURE 18.4 Addressing customer issues: 3. Why should I need two years trading history to get a loan, when I've got a great business idea?

FIGURE 18.5 High level acquisition strategy

FIGURE 18.6 Sample deposits gathering strategy

FIGURE 18.7 Sample loan growth strategy

Chapter 19

FIGURE 19.1 Northern Rock funding types 1998–2007

FIGURE 19.2 Northern Rock CDS price history Apr–Sep 2007

FIGURE 19.3 Proposed ALM report in table and graph formats

FIGURE 19.4 Business line funding usage

FIGURE 19.5 CBD ALCO governance structure

FIGURE 19.6 UK commercial bank IRRBB reporting

FIGURE 19.7 Bank IRRBB hedge structure

FIGURE 19.8 Deposit and product type split

FIGURE 19.9 GBP Type A Balances

Guide

Cover

Table of Contents

Begin Reading

Pages

C1

i

ii

iii

iv

v

vi

viii

ix

x

xi

xvii

xviii

xix

xxi

xxii

xxiii

xxiv

xxv

xxvi

xxvii

xxviii

xxix

xxxi

xxxii

xxxiii

xxxiv

xxxv

xxxvi

xxxvii

xxxix

xli

xlii

xliii

xliv

2

3

4

5

6

7

8

9

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24

25

26

27

28

29

30

31

32

33

34

35

36

37

38

39

40

41

42

43

44

45

46

47

48

49

50

51

52

53

54

55

56

57

58

59

60

61

62

63

64

65

66

67

68

69

70

71

72

73

74

75

76

77

78

79

80

81

82

83

84

85

86

87

88

89

90

91

92

93

94

95

96

97

98

99

100

101

102

103

104

105

106

107

108

109

110

111

112

113

114

115

116

117

118

120

121

122

123

124

125

126

127

128

129

130

131

132

133

134

135

136

137

138

139

140

141

142

143

144

145

146

147

148

149

150

151

152

153

154

155

156

157

158

159

160

161

162

163

164

165

166

167

168

169

170

171

172

173

174

175

176

177

178

179

180

181

182

183

184

185

186

187

188

189

190

191

192

193

194

195

196

197

198

199

200

201

202

203

204

205

206

207

208

209

210

211

212

213

214

215

216

217

218

219

220

221

222

223

224

225

226

227

228

229

230

231

232

233

234

235

236

237

238

239

240

241

242

243

244

245

246

247

248

249

250

251

252

253

254

255

256

257

258

259

260

261

262

263

264

265

266

267

268

269

270

272

273

274

275

276

277

278

279

280

281

282

283

284

285

286

287

288

289

290

291

292

293

294

295

296

297

298

299

300

301

302

303

304

305

306

307

308

309

310

311

312

313

314

315

316

317

318

319

320

321

322

323

324

325

326

327

328

329

330

331

332

333

334

335

336

337

338

339

340

341

342

343

344

345

346

347

348

349

350

351

352

353

354

355

356

357

358

359

360

361

362

363

364

365

366

367

368

369

370

371

372

373

376

377

378

379

380

381

382

383

384

385

386

387

388

389

390

391

392

393

394

395

397

396

399

400

401

402

403

404

405

406

407

408

409

410

411

412

413

414

415

416

417

418

419

420

421

422

423

424

425

426

427

428

429

430

431

432

433

434

435

436

437

438

439

440

441

442

443

444

445

446

447

448

449

450

451

452

453

454

455

456

457

458

459

460

461

462

464

465

466

467

468

469

470

471

472

473

474

475

476

477

478

479

480

481

482

483

484

485

486

487

488

489

490

491

492

493

494

495

496

497

498

499

500

501

502

503

504

505

506

507

508

509

510

511

512

513

514

515

516

517

518

519

520

521

522

523

524

525

526

527

528

529

530

531

532

533

534

535

536

537

538

539

540

541

542

543

544

545

546

547

548

549

550

551

552

553

554

555

556

557

558

559

560

561

562

563

564

565

566

567

568

569

570

571

572

573

574

574

576

577

578

579

580

581

582

583

584

585

586

587

588

589

590

591

592

593

594

595

596

597

598

599

600

601

602

603

604

605

606

607

608

609

610

611

612

613

614

615

616

617

618

619

620

621

622

623

624

625

626

627

628

629

630

631

632

633

634

635

636

637

638

639

640

641

642

643

644

645

646

647

648

649

650

652

653

654

655

656

657

658

659

660

661

662

663

664

665

666

667

668

669

670

671

672

673

674

675

676

677

678

679

680

681

682

683

684

685

686

687

688

689

690

691

692

693

694

696

697

698

699

700

701

702

703

704

705

706

707

708

709

710

711

712

713

714

715

716

717

718

719

720

721

722

723

724

725

726

727

728

729

730

731

732

733

734

735

736

737

738

739

740

741

742

743

744

745

746

747

748

749

750

751

752

753

754

755

756

757

758

759

760

761

762

763

764

765

766

767

768

769

770

771

772

773

774

775

776

777

778

779

780

781

782

783

784

785

786

787

788

789

790

791

792

794

795

796

797

798

799

800

801

802

803

804

805

806

807

808

809

810

811

812

813

814

815

816

817

818

819

820

821

822

823

824

825

826

827

828

829

830

831

832

833

834

835

836

837

838

839

840

841

842

843

844

845

846

847

848

849

850

851

852

853

854

855

856

857

858

859

860

861

862

863

864

865

866

867

868

869

870

871

872

873

874

875

876

877

878

879

880

881

882

883

884

885

886

887

888

889

890

891

892

893

894

895

896

897

898

899

900

901

902

903

904

905

906

907

908

909

910

911

912

913

915

914

916

917

918

919

920

921

922

923

924

925

926

927

928

929

930

931

932

933

934

935

936

937

938

939

940

941

942

943

944

945

946

947

948

949

950

951

952

953

954

955

956

957

958

959

960

961

962

963

964

965

966

967

968

970

971

972

973

974

975

976

977

978

979

980

981

982

983

984

985

986

987

988

989

991

990

992

993

994

995

996

997

998

999

1000

1001

1002

1003

1004

1005

1006

1007

1008

1009

1010

1011

1012

1013

1014

1015

1016

1017

1018

1019

1020

1021

1022

1023

1024

1025

1026

1027

1028

1029

1030

1031

1032

1033

1034

1035

1036

1037

1038

1039

1040

1041

1042

1043

1044

1045

1046

1047

1048

1049

1050

1051

1052

1053

1054

1055

1056

1057

1058

1059

1060

1061

1062

1063

1064

1065

1066

1067

1068

1069

1070

1071

1072

1073

1074

1075

1076

1077

1078

1079

1080

1081

1082

1083

1084

1085

1086

1087

1088

1090

1091

1092

1093

1094

1095

1096

1097

1098

1099

1100

1101

1102

1103

1104

1105

1106

1107

1108

1109

1110

1111

1112

1113

1114

1115

1116

1117

1118

1119

1120

1121

1122

1123

1124

1125

1126

1127

1128

1129

1130

1131

1132

1133

1134

1135

1136

1137

1138

1139

1140

1141

1142

1143

1144

1145

1146

1147

1148

1149

1150

1151

1152

1153

1154

1155

1156

1157

1158

1159

1160

1161

1162

1163

1164

1165

1166

1167

1168

1169

1170

1171

1172

1173

1174

1175

1176

1177

1178

1179

1180

1181

1182

1183

1184

1185

1186

1187

1188

1189

1190

1191

1192

1193

1194

1195

1196

1197

1198

1199

1200

1201

1202

1203

1204

1205

1206

1207

1208

1209

1210

1211

1212

1213

1214

1215

1216

1217

1218

1219

1220

1221

1222

1223

1224

1225

1226

1227

1228

1229

1230

1231

1232

1233

1234

1235

1236

1237

1238

1239

1240

1241

1242

1243

1244

1245

1246

1247

1248

1249

1250

1251

1252

1253

1254

1255

1256

1257

1258

1259

1260

1261

1262

1263

1264

1265

1266

1267

1268

1269

1270

1271

1272

1273

1274

1275

1276

1277

1278

1279

1280

1281

1282

1283

1284

E1

Praise for The Moorad Choudhry Anthology

A worthy book for professionals and students alike. Whether you want to refer to a product or a technical formula or learn afresh, the easy‐to‐read style of this book from an author who is very deep rooted in everyday banking business promotes great understanding, as well enjoyment from the activities of both generating profit and minimising risks.

—Dr Martin CzurdaCEO, Austrian Anadi Bank, Klagenfurt

“I wish this book had been around when I did my MBA. It is essential reading for anyone who wants to be both comprehensively and thoughtfully briefed about the banking sector. I particularly appreciated the section on governance, as this is rarely included in such discussions, but is always the dog that doesn't bark when things go wrong. As such, The Moorad Choudhry Anthology should grace the table of every bank boardroom in the world.”

—Dr Eve PooleAshridge Business School

“Moorad manages to describe a comprehensive and complex area of banking in a lively and readable language. As a Group Chief Financial & Risk Officer I have had great professional benefit of the description of the role of the Asset & Liability Committee, the risk policy, reporting and stress testing as well as the description of the day‐to‐day management in the risk and treasury departments. It was also rewarding for me to read the final chapters about best practice in capital and funding management and corporate governance, which we should not forget, when we enter into the next period of bull markets. I can highly recommend this book as a handy reference work for anyone who is involved in banking strategy, ALM and liquidity risk management.”

—Steen BlaafalkGroup Chief Financial & Risk Officer, Saxo Bank A/S, Copenhagen

“Not very often does a monograph come along that consolidates a field's existing body of research and practitioners' insights into a comprehensive, accessible best‐practice framework. The Moorad Choudhry Anthology achieves this feat; it builds on his earlier Principles of Banking, widely recognised as the bible in the ALM and bank risk management field. More than that though, Anthology is a fun, fascinating read, benefiting from Professor Choudhry's signature witty and straight‐to‐the‐point writing style as well as from his substantial previous academic research and professional experience as banking executive.

Anthology is educational without being prescriptive, encouraging practitioners to pick and mix those elements from a rich analytical toolbox that suit their institutional and market contexts. Given the depth and breadth of its coverage and its clear, methodical organisation, the book is suitable for anyone interested in this fascinating field at the core of modern banking, from the graduate preparing for a job interview to the seasoned professional looking for a comprehensive and detailed exposition of current best practice.”

—Thomas KuehnDirector Structured Finance Model Development Team, Fitch Ratings, London

“Moorad, you are a great team player and you have the heart that a South American footballer requires!”

—Juan Carlos SihuinchaQuantitative Analyst, Banco de Crédito BCP, Lima

Moorad Choudhry Anthology is quite simply, the bible of banking. Anyone who is serious about a career in this industry needs a copy. We eagerly await the next book in the series from the author, who is without doubt a guru in his field.

—Julie AshmoreSpeaker and Leadership Coach, Former Head of SME Lending, HSBC, London

“The best book I've ever read on banking.”

—David Riddell Director, Banking Solutions, Earnix, London

“The Moorad Choudhry Anthology is that very rare thing, a textbook that shows the practitioner exactly how to go about achieving business best‐practice in the real world, with templates and policy guidelines that can be applied to virtually any commercial bank. The in‐depth coverage of capital, liquidity, and governance principles is particularly welcome. A heavyweight benchmark guide that all senior bankers should be thoroughly familiar with.”

—David Wileman CEO, King & Shaxson Limited, London

“Don't mistake the complexity and detail for a hard read. This book is a thorough anthology, complete in its coverage and with a valuable connection to the real world. It is a timely source of reference, lessons, and understanding and should help ensure that ‘principles' regain their position at the forefront of banking culture.”

—Steven Fine Managing Partner, Peel Hunt, London

“I read it fully and can say it is one of a kind. A super useful tool for bankers and staff in the capital markets.”

—Issa Soormally Deputy Governor, Bank of Mauritius, Port Louis

“While working on my MBA master thesis in Finance (corporate banking), I was always reading Professor Choudhry's books as they are more valuable and better structured than most of the books in Finance.”

—Piotr Lagodzinski VTB, Frankfurt

“This book is an essential guide to banking in practice. The Moorad Choudhry Anthology is a prerequisite to understanding how banking should operate in order to be safe and sound, an imperative in today's post‐crisis environment. A truly insightful and really rather fabulous book.”

—Ruth Wandhöfer Global Banking Regulatory and Industry Expert, and author of Transaction Banking and the Impact of Regulatory Change (2014)

“This author never ceases to impress. As with all his books, Professor Choudhry has done an amazing job of concisely and clearly explaining, in a greatly appropriate and complete level of detail, all of the important aspects of banks as institutions, their products, their asset and liability management techniques, liquidity and risk management to name just a few. It is an excellent book and as always with Professor Choudhry's writing style it is very easy to read and understand. I would recommend this for anyone who wants a good, detailed insightful read about the business of banks, their products, and the regulatory and risk management aspects of the business of banking.”

—Shabnam MohammadManaging Director, Khalij Islamic Limited, Dubai

“Finance text books generally don't cover bank asset–liability management, capital and liquidity in detail. I'm very impressed by this book because the author covers all important aspects of these essential disciplines in banking in a way that even a fresher can understand. Highly recommended.”

—Balamurali Radhakrishnan FX Strategist, FXWire Pro, Bangalore

“If you want to see how much banking has progressed in a generation, look no further than Anthology. And all for the better!”

—Peter Eisenhardt Secretary General, International Council of Securities Associations, London

“Moorad's ability to capture the fundamentals of Banking with a particular focus on capital and liquidity risk management is laid bare in black and white for all to understand. Whether new to Banking or with multiple years of exposure, The Moorad Choudhry Anthology is a book that needs to be handled regularly to ascertain best practice.”

—Stephen Grainger Chairman of the Small Banks Association, and Group Treasurer, Aldermore Bank Plc, London

“The Moorad Choudhry Anthology is an extremely thorough and readable book on asset–liability management and bank risk management. It covers such a wide spectrum of topics affecting a treasury and risk function that this is always the first resource I look into if I have to brush up my knowledge or look up something properly in any particular area. I find this book very authentic and relevant as it covers the latest issues in the market and is written by a practitioner who is very well regarded in the industry.”

—Nehal Saghir Head of Asset and Liability Management, Mizuho Capital Markets (UK) Ltd, London

“Moorad's book sets a high standard that balances both academic and real world application. With the knowledge of ALM, capital and liquidity management being more relevant today in the post‐crisis era, it is a must read for any serious banker.”

—James Chua Pheng Kyan Treasurer, Bank Islam Brunei Berhad, Bandar Seri Begawan

“This book will actually make one understand how a bank works, about their products, their asset–liability management techniques, their liquidity and risk management, and how to manage the balance sheet in aggregate, strategic terms. Any reader will see that the author covers a wide but sensibly chosen range of topics. This is a book I highly recommend to both practitioners and students.

Prof. Choudhry's writing style is very easy to read and understand. He has done a really great job in providing concise and clear explanations with a greatly useful and complete level of detail, which makes this the best reference tool for bankers everywhere. But the true beauty of this book is that it is also very readable and easily understood for non‐bankers as well.”

—Shahriar Azad Shashi Research Associate, EBL Securities Limited, wholly‐owned Subsidiary of Eastern Bank Limited, Dhaka

“The Moorad Choudhry Anthology combines all of the strategy, capital, liquidity and asset–liability frameworks with analysis on banking practices that makes a bank thrive or fail during a financial crisis. This book serves as an invaluable guide in my work as auditor and enables me to communicate effectively with my front office and risk management colleagues.”

—Chan Chee Cheong Gerard Vice President, Non‐Credit Audit, United Overseas Bank Bhd, Kuala Lumpur

“This book contains so much about crucial things that you need to know, it gives a practical and conceptual approach to understanding the principles of modern banking. It is an indispensable guide, template and policy manual for all bankers everywhere. A well written book about important topics, I recommend this book highly.”

—Budi Gunawan Division Head, Market & Liquidity Risk Management, Bank OCBC NISP, Jakarta

“An invaluable text that should be read by all bankers, whatever their specialism. A very high quality real‐world benchmark of business best‐practice.”

—John Simon Director, Treasury & Capital Markets, CIMB Bank, Jakarta

“A first‐class guidebook that deserves to be on the bookshelf of every banker. This book will become a timeless masterpiece.”

—Ekkapong Rungrojpanichkul Vice President, Kasikorn Bank, Bangkok

“Nestling proudly among the Treasury team's bookshelves are: one copy of Bank Asset & Liability Management and two copies of The Principles of Banking. All copies have been suitably underlined, bookmarked, and cross‐referenced. Nice testimonials!”

—Graham Laird Treasury Risk Manager, Aldermore Bank plc, London