TABLE OF CONTENTS:

Part I: Banking, Bank Customer Business and Regulation 1
Chapter 1: Banking, bank business and financial statements 3
Chapter 2: Ethics, conduct and customer service 75
Chapter 3: Bank regulatory capital and the “Basel Rules” 97
Part II: Bank Asset and Liability Management 159
Chapter 4: The yield curve 161
Chapter 5: Asset– liability management I 201
Chapter 6: Balance sheet management: money markets, FX, trading and hedging, and securitisation 251
Chapter 7: Managing interest- rate risk in the banking book (IRRBB) 303
Chapter 8: Bank Treasury operating model 333
Chapter 9: ALCO governance framework and terms of reference 351
Chapter 10: ALM sundries: asset encumbrance, hedge accounting, IFRS 9 and EIR 383
Part III: Bank Liquidity Risk Management 401
Chapter 11: Principles of bank liquidity management 403
Chapter 12: Liquidity risk metrics 445
Chapter 13: Liquidity risk reporting 461
Chapter 14: Bank funds transfer pricing 469
Part IV: Bank Strategy and Governance 491
Chapter 15: Bank strategy I: inputs and setting 493
Chapter 16: Bank strategy II: capital and funding management 521
Chapter 17: Principles of corporate governance 541
Part V: Principles of Risk Management and Regulation 573
Chapter 18: The risk management framework 575
Chapter 19: Credit risk assessment and reporting principles 617
Chapter 20: Stress testing, ICAAP, ILAAP and reverse stress testing 647
Chapter 21: Recovery planning and resolution planning 693
Chapter 22: Sustainable banking and climate change risk management 703
Chapter 23: Case studies: analysis, problem solving and decision making 721
Chapter 24: Everything changes, and nothing changes: excerpts from a timeless work 753
Part VI: Guide to the Companion Website 761
Chapter 25: Applications software, policy templates and spreadsheet models 763
Afterword 771
List of Terms and their Abbreviations 775
Index 781