An Introduction to Banking (eBook)

Professor Moorad Choudhry lectures on the MSc Finance programme at University of Kent Business School. He was previously Treasurer, Corporate Banking Division at The Royal Bank of Scotland, Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products, Vice President in structured finance services at JPMorgan Chase and a gilt-edged market maker at ABN Amro Hoare Govett Ltd. He is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the London Institute of Banking and Finance, a Fellow of the Global Association of Risk Professionals and a Fellow of the Institute of Directors.

Foreword ix

Preface xi

Preface to the First Edition xv

Acknowledgements xvii

About the Author xix

Part I Bank Business and the Markets 1

1 Bank Business and Capital 3

2 Customer Services and Marketing for Bank Products 29

3 Credit Assessment and Managing Credit Risk 49

4 the Money Markets 95

5 the Yield Curve 131

6 Introduction to Money Market Dealing and Hedging 167

Part II Asset-liability Management and Liquidity Risk 205

7 Bank Asset and Liability Management I 207

8 Asset and Liability Management II: the Alco 247

9 Bank Liquidity Risk Management I 265

10 Liquidity Risk Management II: Basel III Liquidity, Liabilities Strategy, Stress Testing, Collateral Management and the HQLA 287

11 Business Best-practice Bank Internal Funds Transfer Pricing Policy 329

12 Net Interest Income (NII), Net Interest Margin (NIM) and the Management of Interest-rate Risk in the Banking Book 343

13 Securitisation Mechanics for Balance Sheet Management 375

Part III Strategy, Regulatory Capital and Case Studies 391

14 Strategy Setting 393

15 Bank Regulatory Capital, Basel Rules and ICAAP 419

16 Managing Operational Risk 493

17 Advice and Problem Solving: Case Studies 505

Appendix A Financial Markets Arithmetic 531

Appendix B Abbreviations and Acronyms 549

Index 553