Asset–Liability Management and Liquidity Risk
by Steen Blaafalk, Moorad Choudhry
An Introduction to Banking, 2nd Edition
- COVER
- TITLE PAGE
- FOREWORD
- PREFACE
- PREFACE TO THE FIRST EDITION
- ACKNOWLEDGEMENTS
- ABOUT THE AUTHOR
- PART I: Bank Business and the Markets
- Chapter 1: BANK BUSINESS AND CAPITAL
- Chapter 2: CUSTOMER SERVICES AND MARKETING FOR BANK PRODUCTS
- Chapter 3: CREDIT ASSESSMENT AND MANAGING CREDIT RISK
- PART 1
- CREDIT PROCESS
- LOAN ORIGINATION PROCESS STANDARDS
- QUALITATIVE FACTORS: RETAIL AND NON‐RETAIL EXPOSURES
- INTERNAL RATINGS
- COUNTERPARTY RISK PARAMETERS
- DEFAULTS EVENTS AND MEASURES
- PRODUCT CREDIT RISK MEASUREMENT
- CREDIT RISK TERMINOLOGY
- MODEL DEVELOPMENT
- RISK MONITORING AND MODEL VALIDATION
- TRADING BOOK CREDIT EXPOSURES
- PART 2
- CONCLUSIONS
- NOTE
- Chapter 4: THE MONEY MARKETS
- Chapter 5: THE YIELD CURVE
- IMPORTANCE OF THE YIELD CURVE
- USING THE YIELD CURVE
- YIELD‐TO‐MATURITY YIELD CURVE
- ANALYSING AND INTERPRETING THE YIELD CURVE
- THEORIES OF THE YIELD CURVE
- THE ZERO‐COUPON YIELD CURVE
- CONSTRUCTING THE BANK'S INTERNAL YIELD CURVE
- CALCULATION ILLUSTRATIONS
- UNDERSTANDING FORWARD RATES
- SONIA YIELD CURVE
- CONCLUSIONS
- APPENDIX
- REFERENCES
- APPENDIX
- BIBLIOGRAPHY
- NOTES
- Chapter 6: INTRODUCTION TO MONEY MARKET DEALING AND HEDGING
- PART II: Asset–Liability Management and Liquidity Risk
- Chapter 7: BANK ASSET AND LIABILITY MANAGEMENT I
- Chapter 8: ASSET AND LIABILITY MANAGEMENT II: THE ALCO
- Chapter 9: BANK LIQUIDITY RISK MANAGEMENT I
- Chapter 10: LIQUIDITY RISK MANAGEMENT II: BASEL III LIQUIDITY, LIABILITIES STRATEGY, STRESS TESTING, COLLATERAL MANAGEMENT AND THE HQLA
- BASEL III LIQUIDITY METRICS
- OPTIMUM LIABILITIES STRATEGY AND MANAGING THE HIGH‐QUALITY LIQUID ASSETS (HQLA) PORTFOLIO
- THE LIQUID ASSET BUFFER
- LIQUIDITY REPORTING, STRESS TESTING, ILAAP, AND ASSET ENCUMBRANCE POLICY
- LIQUIDITY STRESS TESTING
- INDIVIDUAL LIQUIDITY ADEQUACY ASSESSMENT PROCESS
- INTRA‐DAY LIQUIDITY RISK
- ASSET ENCUMBRANCE
- COLLATERAL FUNDING MANAGEMENT, FVA, AND CENTRAL CLEARING FOR OTC DERIVATIVES
- CONCLUSIONS
- NOTES
- Chapter 11: BUSINESS BEST‐PRACTICE BANK INTERNAL FUNDS TRANSFER PRICING POLICY
- Chapter 12: NET INTEREST INCOME (NII), NET INTEREST MARGIN (NIM) AND THE MANAGEMENT OF INTEREST‐RATE RISK IN THE BANKING BOOK
- NET INTEREST INCOME
- NET INTEREST MARGIN
- INTEREST‐RATE RISK IN THE BANKING BOOK
- SIMULATION ANALYSIS
- THE MANAGEMENT OF GAP RISK
- THE MANAGEMENT OF BASIS AND OPTION RISKS
- THE MANAGEMENT OF PREPAYMENT RISK
- THE MANAGEMENT OF PIPELINE RISK
- THE MANAGEMENT OF CAP AND FLOOR RISK
- BASEL COMMITTEE: HIGH‐LEVEL PRINCIPLES FOR INTEREST‐RATE RISK IN THE BANKING BOOK
- CONCLUSIONS
- NOTE
- Chapter 13: SECURITISATION MECHANICS FOR BALANCE SHEET MANAGEMENT
- PART III: Strategy, Regulatory Capital and Case Studies
- Appendix A: FINANCIAL MARKETS ARITHMETIC
- Appendix B: ABBREVIATIONS AND ACRONYMS
- INDEX
- END USER LICENSE AGREEMENT
Unfortunately Vic came off rather badly [in the squadron], as he suffered from two career‐limiting character faults: firstly he was outspokenly honest and always said what he really thought, and secondly he was invariably right.
—Michael Napier, Tornado Over the Tigris: Recollections of a Fast Jet Pilot, Pen & Sword Books, 2015.
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