Liquidity Transfer Pricing: A Guide to Better Practice
After completing this reading, you should be able to: Discuss the process of liquidity transfer pricing (LTP) and identify best practices for the governance and implementation of an LTP process. Discuss challenges that may arise for banks during the implementation…
Risk Management for Changing Interest Rates: Asset-Liability Management and Duration Techniques
After completing this reading, you should be able to: Discuss how asset-liability management strategies can help a bank hedge against interest rate risk. Describe interest-sensitive gap management and apply this strategy to maximize a bank’s net interest margin. Describe duration gap…
Covered Interest Rate Parity Lost: Understanding the Cross-Currency Basis
After completing this chapter, you should be able to: Differentiate between the mechanics of FX swaps and cross-currency swaps. Identify critical factors that affect the cross-currency swap basis. Assess the causes of covered interest rate parity violations after the financial…
Managing Nondeposit Liabilities
After completing this reading, you should be able to: Differentiate the various sources of non-deposit liabilities at a bank. Describe and calculate the available funds gap. Discuss the factors affecting the choice of non-deposit funding sources. Calculate the overall cost…
