Bank Asset and Liability Management (eBook)

Hong Kong Institute of Bankers (Hkib) (Autor)

eBook Download: PDF

2018 | 1. Auflage
368 Seiten
Wiley (Verlag)
978-0-470-82755-0 (ISBN)

Infos

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

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.

Inhalt

Cover???????????????????????? 1
Title Page?????????????????????????????????? 5
Copyright???????????????????????????????? 6
Contents?????????????????????????????? 7
Preface 11
Part 1: Asset and Liability Management?????????????????????????????????????????????????????????????????????????????????????????? 13
Chapter 1: Managing Bank Profitability?????????????????????????????????????????????????????????????????????????????????????????? 15
Introduction?????????????????????????????????????? 16
Structure and Regulation?????????????????????????????????????????????????????????????? 16
Financial Statements?????????????????????????????????????????????????????? 21
Evaluating Banks' Profits???????????????????????????????????????????????????????????????? 25
Measuring Bank Profitability?????????????????????????????????????????????????????????????????????? 28
Summary???????????????????????????? 36
Key Terms???????????????????????????????? 37
Review Questions?????????????????????????????????????????????? 38
Further Reading???????????????????????????????????????????? 38
Chapter 2: Asset and Liability Management Committee (ALCO)?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? 39
Introduction?????????????????????????????????????? 40
ALCO Role and Functions???????????????????????????????????????????????????????????? 40
ALCO Plan???????????????????????????????? 51
Summary???????????????????????????? 58
Key Terms???????????????????????????????? 58
Review Questions?????????????????????????????????????????????? 59
Further Reading???????????????????????????????????????????? 59
Chapter 3: Managing Bank Assets and Liabilities???????????????????????????????????????????????????????????????????????????????????????????????????????????? 61
Introduction?????????????????????????????????????? 62
Managing Bank Assets?????????????????????????????????????????????????????? 62
Managing Bank Liabilities???????????????????????????????????????????????????????????????? 67
Summary???????????????????????????? 71
Key Terms???????????????????????????????? 72
Review Questions?????????????????????????????????????????????? 73
Further Reading???????????????????????????????????????????? 73
Part 2: Managing Liquidity Risk and Interest Rate Risk?????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? 75
Chapter 4: Liquidity Management???????????????????????????????????????????????????????????????????????????? 77
Introduction?????????????????????????????????????? 78
Definition and Measures of Liquidity?????????????????????????????????????????????????????????????????????????????????????? 79
Determining Funding Needs???????????????????????????????????????????????????????????????? 85
Stress Tests?????????????????????????????????????? 91
Summary???????????????????????????? 93
Key Terms???????????????????????????????? 94
Review Questions?????????????????????????????????????????????? 95
Further Reading???????????????????????????????????????????? 95
Chapter 5: Managing Interest Rate Risk?????????????????????????????????????????????????????????????????????????????????????????? 97
Introduction?????????????????????????????????????? 98
Types of Interest Rate Risk???????????????????????????????????????????????????????????????????? 98
Interest Rate Gap Analysis?????????????????????????????????????????????????????????????????? 99
Duration Analysis???????????????????????????????????????????????? 102
Basis Point Value???????????????????????????????????????????????? 105
Immunisation and Hedging Interest Rate Risk???????????????????????????????????????????????????????????????????????????????????????????????????? 105
Net Interest Income Sensitivity Analysis?????????????????????????????????????????????????????????????????????????????????????????????? 108
Securitisation?????????????????????????????????????????? 109
Summary???????????????????????????? 111
Key Terms???????????????????????????????? 112
Review Questions?????????????????????????????????????????????? 112
Further Reading???????????????????????????????????????????? 113
Chapter 6: ALM in Changing Market Conditions?????????????????????????????????????????????????????????????????????????????????????????????????????? 115
Introduction?????????????????????????????????????? 116
Lessons from the Global Financial Crisis?????????????????????????????????????????????????????????????????????????????????????????????? 116
From Stress Testing to Contingency Plan Execution 120
ALM Strategy and Interest Rate Cycle?????????????????????????????????????????????????????????????????????????????????????? 122
Summary???????????????????????????? 126
Key Terms???????????????????????????????? 127
Review Questions?????????????????????????????????????????????? 127
Further Reading???????????????????????????????????????????? 128
Chapter 7: Case Studies???????????????????????????????????????????????????????????? 129
Introduction?????????????????????????????????????? 130
Liquidity Risk: Royal Bank of Scotland Fails Stress Test (2016)???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? 131
Liquidity Risk: Lehman Brothers (2008)?????????????????????????????????????????????????????????????????????????????????????????? 138
Continental Illinois National Bank's Electronic Cash Out (1984)???????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????????? 143
Bank of New England's Silent Run (1991)???????????????????????????????????????????????????????????????????????????????????????????? 149
Summary???????????????????????????? 152
Key Terms???????????????????????????????? 153
Review Questions?????????????????????????????????????????????? 154
Further Reading???????????????????????????????????????????? 154
Appendix A: Principles for Sound Liquidity Risk Management and Supervision 155
Governance of Liquidity Risk Management 156
Measurement and Management of Liquidity Risk 156
Public Disclosure 157
The Role of Supervisors 157
Index 159
EULA 163

Produkt-Details

• Erscheint lt. Verlag: 18.1.2018
• Sprache: englisch
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• ISBN-10: 0-470-82755-6 / 0470827556
• ISBN-13: 978-0-470-82755-0 / 9780470827550