Bank Asset and Liability Management

ISBN-13: 9780470827536 / Angielski / Miękka / 2018 / 256 str.

Hong Kong Institute of Bankers HKIB

Opis

An in-depth look at how banks and financial institutions manage assets and liabilities Created for banking and finance professionals with a desire to expand their management skillset, this book focuses on how banks manage assets and liabilities, set up governance structures to minimize risks, and approach such critical areas as regulatory disclosures, interest rates, and risk hedging. It was written by the experts at the world-renowned Hong Kong Institute of Bankers, an organization dedicated to providing the international banking community with education and training.

• Explains bank regulations and the relationship with monetary authorities, statements, and disclosures
• Considers the governance structure of banks and how it can be used to manage assets and liabilities
• Offers strategies for managing assets and liabilities in such areas as loan and investment portfolios, deposits, and funds
• Explores capital and liquidity, including current standards under Basel II and Basel III, funding needs, and stress testing
• Presents guidance on managing interest rate risk, hedging, and securitization

Spis treści

FOREWORD (Bank endorsement)

PREFACE

 

Part 1: Asset and Liability Management

Chapter 1: Managing Bank Profitability

Learning Objectives

Introduction

1.1 Banking structure and regulation

1.1.1 Mandatory financial disclosure on banks

 

1.2 Bank financial statements

1.2.1 Income and profit

1.2.2 Off balance sheet items

1.2.3 Non–financial information

 

1.3 Evaluation of bank profits

 

1.4 Measuring bank profitability

1.4.1 Interest and non–interest revenues/expenses

1.4.2 Cost of funds, return on equity, return on assets and net interest margin

1.4.3 Different approaches to balance sheet management

1.4.4 Accounting profit vs. economic profit

Summary

List of key terms

Study guide (five questions)

Further reading/websites

 

Chapter 2: Asset and Liability Management Committee

Learning Objectives

Introduction

2.1 The role and functions of Asset and Liability Management Committee (ALCO)

2.1.1 Asset and liability management

2.1.2 Liquidity and funding risk management

 

2.2 ALCO plan development

 

2.3 ALCO pack

2.3.1 Financial ratios

2.3.2 Influence for market strategy

Summary

List of key terms

Study guide (five questions)

Further reading/websites

 

Chapter 3: Managing Bank Assets and Liabilities

Learning Objectives

Introduction

3.1 Managing bank assets

3.1.1 The loan portfolio

3.1.2 The investment portfolio

3.1.3 Securitization

3.1.4 Liquidity management – assets

 

3.2 Managing bank liabilities

3.2.1 Sources of funds

3.2.2 Deposit structure

3.2.3 Impact of interest rate changes on net interest spread

3.2.4 Liquidity management – liabilities

Summary

List of key terms

Study guide (five questions)

Further reading/websites

 

Chapter 4: Banking Regulations

Learning Objectives

Introduction

4.1 Banking regulation and the role of the central monetary authority

 

4.2 Roles of HKMA

4.2.1 RTGS

4.2.2 Intra–day repo

4.2.3 Discount window

Summary

List of key terms

Study guide (five questions)

Further reading/websites

 

Part 2: Managing Liquidity Risk and Interest Rate Risk

Chapter 5: Capital and Liquidity Management

Learning Objectives

Introduction

5.1 Definitition and functions of capital, standards of capital adequacy under Basel II/III

5.1.1 Measurement of capital adequacy

5.1.2 Tier 1 (Core) and Tier 2 (supplemental) capital requirements, capital planning

 

5.2 Determining a bank s funding needs

5.2.1 Meeting legal reserve requirements

5.2.2 Loan and deposit trend forecasts

5.2.3 Liquidity gap estimation

5.2.4 Liquidity planning

 

5.3 Stress testing

5.3.1 Capital and liquidity management policies

Summary

List of key terms

Study guide (five questions)

Further reading/websites

 

Chapter 6: Managing Interest Rate Risk

Learning Objectives

Introduction

6.1 Types of interest rate risk

 

6.2 GAP analysis

 

6.3 Duration analysis

 

6.4 Basis point value (BPV)

 

6.5 Hedging interest rate risk

 

6.6 Syndication capital management

 

6.7 Securitization

6.7.1 Liquidity management

6.7.2 Asset management

6.7.3 Capital management

 

6.8 Net interest income sensitivity analysis

Summary

List of key terms

Study guide (five questions)

Further reading/websites

 

Chapter 7: Long Term Market Risk

Learning Objectives

Introduction

7.1 Long term risks

Summary

List of key terms

Study guide (five questions)

Further reading/websites

 

Glossary

Index

O autorze

The Hong Kong Institute of Bankers (The HKIB) has been serving the local banking community in the provision of education and training since 1963. In 1995, with the encouragement and support of the local banking community, the Institute declared its independence from its parent institute in UK. With an independent status, the Institute is able to better serve the training needs of the bankers in the region and to reflect the importance of Hong Kong as an international financial center.  The continuous professional development program, which comprises of professional examinations and training courses, has helped bank employees to make advancements in their banking career, and is valued by most of them who are determined to strengthen their knowledge base.  In view of the changing landscape of the banking industry in Hong Kong, the importance of continuous professional development and education in this competitive financial market has gained increasing attention. The professional examinations and training programs are offered for members or bank staffs to equip with the essential skills and knowledge to help them "fast–track" their management career.