The Principles of Banking: Capital, Asset-Liability and Liquidity Management

Overview

"The Principles of Banking is ideal reading for anyone planning or developing a career in banking. Professor Choudhry’s coverage is fully integrated, clear, and authoritative. There is no better practitioner's guide to this subject."
—Darrell Duffie
Dean Witter Distinguished Professor of Finance Graduate School of Business, Stanford University

"The Principles of Banking is a timely reminder and update, ...

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Overview

"The Principles of Banking is ideal reading for anyone planning or developing a career in banking. Professor Choudhry’s coverage is fully integrated, clear, and authoritative. There is no better practitioner's guide to this subject."
—Darrell Duffie
Dean Witter Distinguished Professor of Finance Graduate School of Business, Stanford University

"The Principles of Banking is a timely reminder and update, incorporating lessons from the crisis and offering practical insights from that rare person – someone who combines working in the market with the dispassionate analysis of an academic. This book provides theory and practice in an easy-to-follow manner, an ideal reference for seasoned professionals."
—Irving Henry
Director, Prudential Capital and Risk British Bankers' Association, London

"As a banker and bank regulator, asset and liability management has remained a high priority area for me. Professor Choudhry’s inclusive and incisive book on the nitty-gritty and nuances of this extremely important subject will help both practitioners and researchers better understand and analyse new tools and models for measuring and managing risk, as well as to keep up with the innovation challenges."
—Dr. K C Chakrabarty
Deputy Governor Reserve Bank of India, Mumbai

"Professor Choudhry puts financial instruments and their derivatives within the context of banks’ asset and liability management, constituting a masterful and unique reference work in the field. This book covers bank liquidity risk analysis and management, as well as stress testing. On these topics Professor Choudhry's book is indispensable reading and is set to become the principal reference."
—Nuno Cassola e Barata
Adviser, Market Operations European Central Bank, Frankfurt

"Not for beginners. A supreme, and superior, exposition of the banker's art. Every board member should have a copy of this book."
—Mohamoud Barre Dualeh
Manager, Islamic Liabilities and SME The National Bank of Ras Al Khaimah, UAE

"Asset and Liability Management (ALM) and Liquidity are at the heart of every bank, and are key to a bank's survival and success. Professor Choudhry has a wealth of experience in this area. The Principles of Banking is an invaluable practical guide on how banks can lift their conduct to meet the challenges of the post-crisis era."
—Abhijit Patharkar
Senior Business Manager ALM Standard Chartered Bank, Singapore

"The failure of the US banking system in 2007–2008 can be effectively described by failing to apply the principles and strategies discussed by Moorad Choudhry. Indeed, banks should understand the dynamic interaction of the economy, credit losses and interest rates, and utilize the strategies within to balance the extremes, and prioritize strategies based upon return of capital and return on capital."
—Joe Jennings CFA
Former Managing Director Sterne Agee & Leach, Inc., Memphis, TN

"Moorad Choudhry's The Principles of Banking opens up a portal into the world of sophisticated, dynamic, capital markets-based commercial banking. He gives us the big picture, the precise details and a framework for analyzing the enormous risks facing these firms. The book is an invaluable resource."
—Jean Helwege
J. Henry Fellers Professor of Business Administration, Department of Finance, University of South Carolina

"This book is a "must read" for all senior bankers. There is no writer better than Moorad Choudhry for communicating the vital principles of liquidity, capital and asset-liability management and bank corporate governance."
—Professor Carol Alexander
Chair of Financial Risk Management, ICMA Centre, University of Reading Chair of the Board, Professional Risk Manager’s International Association

"Moorad continues to make a substantial contribution both to academia and the finance profession.
His latest book, The Principles of Banking, is a comprehensive coverage of best-practice concepts and his own recommended strategies which are set out in a very lucid manner. Moorad, who is a Visiting Professor at CARISMA, makes us proud; well done Moorad!"
—Gautam Mitra
Professor of Computational Optimisation and Modelling & Emeritus Professor, Brunel University Director of CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

"Yet again, a work of excellence!"
—Rafael Hurtado
Vice-President Risk Management Banco de Credito, Lima

"Professor Choudhry has been recommending for years what bank regulatory authorities only started writing about after the crash. The Principles of Banking is the last word on the subject, the definitive rulebook on bank governance and risk management for senior directors, board members and supervisors."
—Martin Barber
Global Head of ITO Delivery Hewlett-Packard Corporation, EMEA

"A really comprehensive and approachable text – an invaluable companion for any financial market practitioner."
—Mark Miller
Global Economist Lloyds TSB Corporate Markets, London

"A very highly rated book in the Group CFO performance management office! The office ALM bible, our main reference point on ALM matters."
—Vasilis Kosmas
Head of Structured Finance National Bank of Greece, Athens

"Asset and liability management is without doubt a priority in banking; it is essential that proper controls are in place to ensure the best returns on, and also efficient use of, capital. This book covers all essential topics in a straightforward manner and builds, from basic to complex, a very useful tool for everyone in this environment."
—Tom O'Connor
Head of Treasury KBC Bank NV, London

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  • The Principles of Banking
    The Principles of Banking  

Editorial Reviews

From the Publisher

"Moorad Choudhry’s 'The Principles of Banking' opens up a portal into the world of sophisticated, dynamic, capital markets-based commercial banking. He gives us the big picture, the precise details and a framework for analyzing the enormous risks facing these firms. The book is an invaluable resource."Jean Helwege, J. Henry Fellers Professor of Business Administration, Department of Finance, University of South Carolina

"This book is a ‘‘must read’’ for all senior bankers. There is no writer better than Moorad Choudhry for communicating the vital principles of liquidity, capital and asset-liability management and bank corporate governance."Professor Carol Alexander, Chair of Financial Risk Management, ICMA Centre, University of Reading Chair of the Board, Professional Risk Manager’s International Association

"'The Principles of Banking' is ideal reading for anyone planning or developing a career in banking. Professor Choudhry’s coverage is fully integrated, clear, and authoritative. There is no better practitioner’s guide to this subject."Darrell Duffie, Dean Witter Distinguished Professor of Finance, Graduate School of Business, Stanford University

"The failure of the US banking system in 2007–2008 can be effectively described by failing to apply the principles and strategies discussed by Moorad Choudhry. Indeed, banks should understand the dynamic interaction of the economy, credit losses and interest rates, and utilize the strategies within to balance the extremes, and prioritize strategies based upon return of capital and return on capital."Joe Jennings CFA, Former Managing Director, Sterne Agee &Leach, Inc., Memphis, TN

"Asset and liability management (ALM) is at the heart of any bank. Among many of its functions, keeping the bank liquid and fixing the ‘‘value’’ of money (for the bank) are key to a bank’s survival and success. Moorad Choudhry has a wealth of experience in this area. The Principles of Banking is an invaluable practical guide on how banks can lift their conduct to meet the challenges of the post-crash era."Abhijit Patharkar, Senior Business Manager, Asset and Liability Management, Standard Chartered Bank, Singapore

"Moorad continues to make a substantial contribution both to academia and the finance profession. His latest book, The Principles of Banking, is a comprehensive coverage of best-practice concepts and his own recommended strategies which are set out in a very lucid manner. Moorad, who is a Visiting Professor at CARISMA, makes us proud; well done Moorad!"Gautam Mitra, Professor of Computational Optimisation and Modelling & Emeritus Professor, Brunel University; Director of CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications

"Yet again, a work of excellence."Rafael Hurtado, Vice-President Risk Management, Banco de Credito, Lima

"Professor Choudhry puts financial instruments and their derivatives within the context of banks’ asset and liability management, constituting a masterful and unique reference work in the field. This book covers bank liquidity risk analysis and management, as well as stress testing. On these topics Professor Choudhry’s book is indispensable reading and is set to become the principal reference."Nuno Cassola e Barata, Adviser, Market Operations, European Central Bank, Frankfurt

"The Principles of Banking is a timely reminder and update, incorporating lessons from the crisis and offering practical insights from that rare person – someone who combines working in the market with the dispassionate analysis of an academic. This book provides theory and practice in an easy-tofollow manner, an ideal reference for seasoned professionals."Irving Henry, Director, Prudential Capital and Risk, British Bankers’ Association, London

"As a banker and bank regulator, asset and liability management has remained a high priority area for me. Professor Choudhry’s inclusive and incisive book on the nitty-gritty and nuances of this extremely important subject will help both practitioners and researchers better understand and analyse new tools and models for measuring and managing risk, as well as to keep up with the innovation challenges."Dr. K C Chakrabarty, Deputy Governor, Reserve Bank of India, Mumbai

"Professor Choudhry has been recommending for years what bank regulatory authorities only started writing about after the crash. 'The Principles of Banking' is the last word on the subject, the definitive rulebook on bank governance and risk management for senior directors, board members and supervisors."Martin Barber, Global Head of ITO Delivery, Hewlett-Packard Corporation, EMEA

"A really comprehensive and approachable text – an invaluable companion for any financial market practitioner."Mark Miller, Global Economist, Lloyds TSB Corporate Markets, London

"A very highly rated book in the Group CFO performance management office! The office ALM bible, our main reference point on ALM matters."Vasilis Kosmas, Head of Structured Finance, National Bank of Greece, Athens

"Asset and liability management is without doubt a priority in banking; it is essential that proper controls are in place to ensure the best returns on, and also efficient use of, capital. This book covers all essential topics in a straightforward manner and builds, from basic to complex, a very useful tool for everyone in this environment."Tom O’Connor, Head of Treasury, KBC Bank NV, London

Read More Show Less

Product Details

  • ISBN-13: 9780470825211
  • Publisher: Wiley
  • Publication date: 5/29/2012
  • Series: Wiley Finance Series , #619
  • Edition number: 1
  • Pages: 350
  • Sales rank: 948,208
  • Product dimensions: 6.20 (w) x 9.10 (h) x 2.20 (d)

Meet the Author

Moorad Choudhry is Treasurer, Corporate Banking Division at The Royal Bank of Scotland.
He is Visiting Professor at the Department of Mathematical Sciences, Brunel University; Visiting Professor at the Department of Economics, London Metropolitan University; and Visiting Teaching Fellow at the Department of Management, Birkbeck, University of London. He is a Fellow of the Chartered Institute for Securities & Investment and a Fellow of the ifs-School of Finance.
He lives in Surrey, England.

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Table of Contents

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

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