Asset & Liability Management - Part II

This pathway continues the discussion on asset and liability management, delving further into the topics required to fully understand this area.




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8 videos • 1 hour 38 minutes

  • The Role of a Bank's Asset-liability Committee (ALCO)

    A bank’s Asset-Liability Committee or ALCO is possibly the most important executive operating committee in a bank. Here, Moorad explains what ALCO is, outlines their responsibilities and provides some insight into their objectives and governance structure.

    Moorad Choudhry11:25

  • Funds Transfer Pricing and Term Liquidity Premium

    Moorad describes how banks measure and control their internal cost and allocation of funding, including the critical role played by a bank's treasury department.

    Moorad Choudhry17:09

  • Funds Transfer Pricing Regimes

    Moorad continues his study of internal cost and allocation of funding, including typical retail, corporate and wholesale bank FTP regimes.

    Moorad Choudhry09:01

  • Value-at-Risk (VaR) Introduction

    Any transaction undertaken by a bank carries an element of risk. Value-at-risk, or VaR, quantifies the probability of loss to a dollar value. Moorad shows how this is achieved using the variance-covariance method.

    Moorad Choudhry15:24

  • Credit Analysis of Banks

    Credit analysis is industry-specific. Moorad discusses the bank-specific financial ratios used to assess a bank's asset quality and benefits for a bank of obtaining a credit rating.

    Moorad Choudhry05:22

  • Interest Rate Risk in the Banking Book Introduction

    For a bank, the act of undertaking ordinary customer business generates interest rate risk. Moorad explains: why this is the case, the different forms of interest rate risk, and strategies used to manage these risks.

    Moorad Choudhry11:46

  • Principles of the Basel IRRBB Regulation

    In Part I, Moorad introduced the concept of interest rate risk in the banking book, or IRRBB. In this second part, Moorad discusses the regulatory principles that all banks, operating under a Basel III regime or equivalent, follow.

    Moorad Choudhry13:17

  • Net Interest Income Sensitivity & EVE

    In Part III of this series, Moorad covers the practical issues concerned with managing the Interest Rate Risk Banking Book, or IRRBB. He covers topics including the treatment of variable rate financial products, Net Interest Income (NII) sensitivity and interest rate shock scenarios.    

    Moorad Choudhry14:47

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