Description
Book SynopsisTable of ContentsForewords xix
Preface xxxix
Acknowledgements xlv
About the Author li
Part I Banking, Bank Customer Business and Regulation 1
Chapter 1 Banking, bank business and financial statements 3
Chapter 2 Ethics, conduct and customer service 75
Chapter 3 Bank regulatory capital and the “Basel Rules” 97
Part II Bank Asset and Liability Management 159
Chapter 4 The yield curve 161
Chapter 5 Asset– liability management I 201
Chapter 6 Balance sheet management: money markets, FX, trading and hedging, and securitisation 251
Chapter 7 Managing interest- rate risk in the banking book (IRRBB) 303
Chapter 8 Bank Treasury operating model 333
Chapter 9 ALCO governance framework and terms of reference 351
Chapter 10 ALM sundries: asset encumbrance, hedge accounting, IFRS 9 and EIR 383
Part III Bank Liquidity Risk Management 401
Chapter 11 Principles of bank liquidity management 403
Chapter 12 Liquidity risk metrics 445
Chapter 13 Liquidity risk reporting 461
Chapter 14 Bank funds transfer pricing 469
Part IV Bank Strategy and Governance 491
Chapter 15 Bank strategy I: inputs and setting 493
Chapter 16 Bank strategy II: capital and funding management 521
Chapter 17 Principles of corporate governance 541
Part V Principles of Risk Management and Regulation 573
Chapter 18 The risk management framework 575
Chapter 19 Credit risk assessment and reporting principles 617
Chapter 20 Stress testing, ICAAP, ILAAP and reverse stress testing 647
Chapter 21 Recovery planning and resolution planning 693
Chapter 22 Sustainable banking and climate change risk management 703
Chapter 23 Case studies: analysis, problem solving and decision making 721
Chapter 24 Everything changes, and nothing changes: excerpts from a timeless work 753
Part VI Guide to the Companion Website 761
Chapter 25 Applications software, policy templates and spreadsheet models 763
Afterword 771
List of Terms and their Abbreviations 775
Index 781
