Moorad Choudhry

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 з

CHAPTER 2
Rank regulatory capital 75

CHAPTER 3
Ranking 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

ix
X Contents

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
Contents xi

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 801

CHAPTER 19
Applications software, policy templates and spreadsheet models 863

Afterword 867

List of terms and their abbreviations 869

Index 875