银行账簿中的利率 - 保罗·纽森（英文）-309正式版.pdf

Contents About the author Abbreviaons Glossary Foreword Acknowledgements Introducon to the first edion Introducon to the second edion 1 An overview of banking 2 Relevant accounng and financial concepts 3 Fundamentals of interest rate risk and the banking book 4 Standard metrics for the idenficaon and assessment of IRRBB 5 Managing and hedging IRRBB 6 Interest rate basis risk and Libor transion 7 Behavioural assumpons in the management of IRRBB 8 Non-dated liabilies 9 Other types of market risk 10 Reporng and the management process 11 IRRBB: Its links to the operang plan and stress tesng 12 Regulatory requirements About the Author Paul Newson works with the UK Asset and Liability Management Associaon (ALMA) where he helped to develop their ALM professional qualificaon, as well as delivering their interest rate risk in the banking book (IRRBB) training course. In addion, he regularly lectures on IRRBB around the world. Prior to working with ALMA, Paul was head of non- traded market risk oversight for the Lloyds Banking Group, director of group asset and liability management at HBOS in London and manager of traded market risk at the Financial Services Authority (FSA) for five years. Aer graduang from the University of Oxford with a bachelor’s degree in modern history, he joined Naonal Westminster Bank, where he spent 22 years in various roles in finance, IT and risk. Abbreviaons AFS Available for sale ALCO Asset–liability commiee ALM Asset–liability management APRA Australian Prudenal Regulaon Authority ARR Alternave reference rate BBR Bank Base Rate BCBS Basel Commiee on Banking Supervision BoE Bank of England CCAR Comprehensive Capital Analysis and Review CD Cerficate of deposit CD Consultave document CP Commercial paper