The Principles of Banking

Forewords xiii

Preface xvii

Acknowledgements xxiii

About the Author xxv

Part I A Primer On Banking 1

Chapter 1 A primer on bank business and balance sheet risk 3

Chapter 2 Bank regulatory capital 75

Chapter 3 Banking and credit risk 131

Chapter 4 A primer on securitisation 179

Chapter 5 The yield curve 221

Part Ii Bank Asset and Liability Management 351

Chapter 6 Asset–liability management I 353

Chapter 7 Asset–liability management II 385

Chapter 8 Asset–liability management III: Trading and hedging principles 445

Chapter 9 Asset–liability management IV: The ALCO 493

Chapter 10 The ALCO: Terms of reference and treasury operating model 503

Chapter 11 Risk reporting, risk policy and stress testing 531

Part Iii Bank Liquidity Risk Management 587

Chapter 12 Principles of bank liquidity management 589

Chapter 13 Liquidity risk metrics 653

Chapter 14 Liquidity risk reporting and stress testing 687

Chapter 15 Internal funds pricing policy 715

Part Iv Bank Strategy and Governance 759

Chapter 16 Bank strategy I: Formulating strategy and direction 761

Chapter 17 Bank strategy II: Capital and funding management 801

Chapter 18 Principles of corporate governance 831

Part V Applications Software, Policy Templates and Teaching Aids 861

Chapter 19 Applications software, policy templates and spreadsheet models 863

Afterword 867

List of terms and their abbreviations 869

Index 875