About the author.
1 BANK BUSINESS AND CAPITAL.
Fees and commissions.
Scope of banking activities.
Banking and trading books.
Financial statements and ratios.
The balance sheet.
Profit and loss report.
2 THE MONEY MARKETS.
Securities quoted on a yield basis.
Money market deposits.
Certificates of deposit.
Securities quoted on a discount basis.
Eligible banker's acceptance.
Commercial paper programmes.
Commercial paper yields.
Asset-backed commercial paper.
The classic repo.
Examples of classic repo.
Examples of sell/buyback.
Currencies using money market year base of 365 days.
3 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.
Example calculation illustrations.
Forward rate calculation for money market term.
Understanding forward rates.
4 INTRODUCTION TO TRADING AND HEDGING.
The yield curve and interest rate expectations.
Credit intermediation by the repo desk.
Matched book trading.
Interest rate futures.
Forward rate agreements.
Overnight interest rate swaps.
Credit risk hedging.
Understanding credit risk.
Credit rating rationale.
Credit limit setting and rationale.
Loan origination process standards.
5 ASSET AND LIABILITY MANAGEMENT I.
The liquidity ratio.
The liquidity portfolio.
6 ASSET AND LIABILITY MANAGEMENT II.
Interest rate risk and source.
The banking book.
The ALM desk.
Developments in ALM.
Liquidity and interest rate risk.
The liquidity gap.
Gap risk and limits.
Interest rate gap.
Portfolio-modified duration gap.
Critique of the traditional approach.
The cost of funding.
The securitization process.
Benefits of securitization.
Generic ALM policy for different-sized banks.
NPV and value-at-risk.
7 ASSET AND LIABILITY MANAGEMENT III: THE ALCO.
8 BANK LIQUIDITY RISK MANAGEMENT.
The liquidity policy statement.
Principles of bank liquidity risk management.
Measuring bank liquidity risk: key metrics.
Internal funding rate policy.
9 A SUSTAINABLE BANK BUSINESS MODEL: CAPITAL, LIQUIDITY AND LEVERAGE.
The new bank business model.
Liquidity risk management.
The liquid asset buffer.
Conclusions and recommendations.
10 BANK REGULATORY CAPITAL.
Banking regulatory capital requirements.
Capital adequacy requirements.
A primer on Basel II.
Impact on specific sectors.
Appendix A Summary of bank product line.
Appendix B Financial markets arithmetic.
Appendix C List of abbreviations and acronyms.