Balance Sheet Shaping Through Decision Model and the Role of the Funds Transfer Pricing Process

Lubinska, Beata

doi:10.1007/978-3-319-54885-2_17

“…The article presents the hypothesis that it is possible to find the target structure of the banking book which provides the bank with the improved economic result [Lubinska 2017] and, at the same time, ensures the respect of the internal limits for risks incurred by the bank. Moreover, it improves the management of the interest rate risk and liquidity risk.…”

Section: Discussionmentioning

confidence: 99%

“…The Basel Committee on Banking Supervision [2016], the European Commission [2013] and the Prudential Regulation Authority [2015] require banks to revamp their approach towards the financial risk management and practice. The recent Basel III regulation highlights the necessity of the maintenance of the balance funding structure and minimum liquidity cushions and therefore forces the banks towards new business model in order to create the right incentives and to maintain regulatory limits [Lubinska 2017].…”

Section: Introductionmentioning

confidence: 99%

Contemporary Challenges in the Asset Liability Management

Lubinska¹

2018

PRACE NAUKOWE UNIWERSYTETU EKONOMICZNEGO WE WROCŁAWIU

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The role of the active management of the banking book in the banking industry is constantly growing. The efficient and productive use of a bank's resources subject to consolidated risk and return appetite remains of upmost importance for banks of all sizes. Therefore, the use of optimization techniques to manage the banking book of a financial institution is becoming an imperative to remain profitable. This article states that application of the optimization techniques can provide useful information to understand the target structure for the banking book in terms of its composition of liabilities and is an important tool to decrease the overall cost of funding. Moreover, the application of the optimization techniques in this article is seen as the integration of the exposure to the financial risks into one approach.

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Asset Liability Management Optimisation

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Contemporary Challenges in the Asset Liability Management

Lubinska

¹

2018

Contemporary Trends and Challenges in Finance

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The role of the active management of the banking book in the banking industry is constantly growing. The efficient and productive use of a bank's resources subject to consolidated risk and return appetite remains of upmost importance for banks of all sizes. Therefore, the use of optimization techniques to manage the banking book of a financial institution is becoming an imperative to remain profitable. This article states that application of the optimization techniques can provide useful information to understand the target structure for the banking book in terms of its composition of liabilities and is an important tool to decrease the overall cost of funding. Moreover, the application of the optimization techniques in this article is seen as the integration of the exposure to the financial risks into one approach. Keywords: optimization model, interest rate risk in the banking book, liquidity risk, objective function, constraints functions.Streszczenie: Rola aktywnego zarządzania aktywami i pasywami w sektorze bankowym stale rośnie. Wydajne i produktywne wykorzystanie zasobów banku wyrażone w postaci skonsolidowanego ryzyka i stopy zwrotu pozostaje niezwykle ważne dla banków każdej wielkości. W celu zapewnienia zyskowności, wykorzystanie technik optymalizacji do zarządzania książką bankową instytucji finansowej staje się koniecznością. W artykule stwierdzono, że zastosowanie technik optymalizacji może dostarczyć przydatnych informacji do zrozumienia docelowej struktury księgi bankowej pod względem składu pasywów i jest ważnym narzędziem do obniżenia całkowitego kosztu finansowania. Co więcej, zastosowanie technik optymalizacji jest postrzegane przez autorkę jako integracja ekspozycji na ryzyko finansowe. Słowa kluczowe: model optymalizacji, ryzyko stopy procentowej w książce bankowej, ryzyko płynności, funkcja celu, funkcje ograniczeń.

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Balance Sheet Shaping Through Decision Model and the Role of the Funds Transfer Pricing Process

Cited by 3 publications

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Contemporary Challenges in the Asset Liability Management

Contemporary Challenges in the Asset Liability Management

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Contemporary Challenges in the Asset Liability Management

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