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LectureMyNotes - Treasury Risk - 38 slides

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Explore Document (1) 2, covering This lecture discusses Treasury risk management and liquidity crises in banking, focusing on the importance of.

Topics Covered

  • Treasury Risk & Liquidity Crises Management
  • Introduction to Treasury Risk
  • Core Objective: Profitability with Liquidity Safety
  • Treasury Functions in Banks
  • Funding Management: Raising Funds
  • Investment Management: Investing Surplus Funds
  • Liquidity Management: Ensuring Cash Availability
  • Balance Sheet Management: Managing Assets and Liabilities
  • Types of Treasury Risk
  • Market Risk: Changes in Interest Rates, FX Rates, and Prices
  • Credit Risk: Counterparty Default Risk
  • Liquidity Risk: Inability to Meet Short-Term Obligations
  • Operational Risk: Failures in Systems and Processes
  • Conventional vs Islamic Banking Treasury Risk
  • Maintenance of Liquidity Coverage Ratio (LCR)
  • Maintenance of Net Stable Funding Ratio (NSFR)
  • Strong Internal Controls and Stress Testing
  • EXERCISE: Liquidity Gap Analysis
  • Cash Flow Projections & Funding Gaps
  • Title Slide
  • Conventional Banking: Interest-Based Instruments
  • Conventional Banking: Wider Access to Money Markets
  • Islamic Banking: Shariah-Compliant Instruments
  • Islamic Banking: Limited Liquidity Instruments
  • Regulatory Expectations
  • Compliance with Basel III Framework
  • Causes of Liquidity Risk: Funding Shortages
  • Consequences of Liquidity Risk: Financial Instability
  • Liquidity Metrics: LCR and NSFR
  • Backup Plan During Liquidity Crisis
  • EXERCISE: Contingency Funding Plan (CFP)
  • CFP Scenario Planning
  • Liquidity Crisis Management
  • Early Warning Indicators (EWI) in Treasury Management
  • Market Risk Measurement Tools
  • Market Risk Mitigation Strategies
  • Governance and Oversight in Treasury Management
  • Reporting and KPIs in Treasury

References

  • Basel Committee on Banking Supervision. (2010). Basel III: A Global Regulatory Framework.
  • Mishkin, F.S. (2019). The Economics of Money, Banking, and Financial Markets.
  • Hull, J.C. (2018). Options, Futures, and Other Derivatives.
  • Basel Committee on Banking Supervision. (2021). Basel Framework Regulatory Mapping.
  • Mishkin, F.S. (2018). Financial Markets and Institutions.
  • Hull, J.C. (2020). Risk Management in Banking Systems.
  • Hull, J.C. (2019). Risk Management in Financial Institutions.
  • Hull, J.C. (2021). Risk Management Techniques in Banking.
  • Hull, J.C. (2021) Risk Management and Financial Institutions. 5th edn. Hoboken: Wiley.
  • Mishkin, F.S. (2020) The Economics of Money, Banking, and Financial Markets. 12th edn. Hoboken: Pearson.
  • Basel Committee on Banking Supervision (2011) Principles for Operational Risk Management.
  • Iqbal, Z. and Mirakhor, A. (2011) An Introduction to Islamic Finance. Singapore: Wiley.
  • BIS. (2013) Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools. Available at: https://www.bis.org
  • BIS. (2014) Basel III: The Net Stable Funding Ratio. Available at: https://www.bis.org
  • BIS. (2017) Stress Testing Principles. Available at: https://www.bis.org
  • Basel Committee on Banking Supervision (2013) Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools. Bank for International Settlements.
  • Hull, J.C. (2022) Risk Management and Financial Institutions. 5th edn. Hoboken, NJ: Wiley.
  • Brunnermeier, M.K. (2009) Deciphering the Liquidity and Credit Crunch 2007-2008. Journal of Economic Perspectives, 23(1), pp. 77-100.
  • Diamond, D.W. and Dybvig, P.H. (1983) Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy, 91(3), pp. 401-19.
  • Basel Committee on Banking Supervision (2010) Basel III: International framework for liquidity risk.
  • Hull, J. (2018) Risk Management and Financial Institutions. 5th edn. New York: Wiley.
  • Basel Committee on Banking Supervision (2013) Principles for Sound Liquidity Risk Management and Supervision.
  • International Monetary Fund (2020) Applying Stress Testing Principles.
  • Bank for International Settlements (2008) Liquidity Risk Management Guidelines.
  • Hull, J.C. (2018) Risk Management and Financial Institutions. 5th edn. Hoboken: Wiley.
  • Jorion, P. (2007) Value at Risk: The New Benchmark for Managing Financial Risk. 3rd edn. New York: McGraw-Hill.
  • Hull, J.C. (2018) Options, Futures, and Other Derivatives. 10th edn. Hoboken: Pearson.
  • Basel Committee on Banking Supervision (2011) Principles for the Sound Management of Operational Risk.
  • Stulz, R.M. (2003) Risk Management and Derivatives. Mason: Thomson South-Western.
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