Asset & Liability Management: A Guide to Value Creation and by Jean Dermine, Youssef F. Bissada

By Jean Dermine, Youssef F. Bissada

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Additional info for Asset & Liability Management: A Guide to Value Creation and Risk Control

Example text

Golden rule for value creation: Value is created by the corporate banking unit whenever the RAROC of …….. exceeds the cost of equity of ………, or when the EVA of ……… million is positive. 23 > 5 stage P R O F I T A L LO C AT I O N A N D TRANSFER PRICING FOR DE P OS ITS AN D LOAN S 3 2 1 4 5 25 ASSET AND LIABILITY MANAGEMENT In Stage 4, we introduced the EVA measure to evaluate the performance of individual business units. As the new CFO, you want to know which business units create value for shareholders, and which ones require intensive care.

Asset sale with recourse 4. Note issuance facilities (NIF) 20% 100% 50% Derivatives: Forex, interest rate, equity, commodities Derivatives such as forwards, futures or options are discussed in Stages 13 and 16. The credit risk is the potential cost of the contract when the counterparty defaults. 39 A S S E T A N D L I A B I LT Y M A N A G E M E N T Current exposure method Credit risk: replacement cost (‘marking to market’) + potential future credit exposure (add-on). 5% 10% S TA G E 6 • T H E C A P I TA L A D E Q U A C Y R E G U L AT I O N E X E R C I S E S TAG E S I X Here is the balance sheet of a bank.

1 – . . . =..... 17 > 4 stage PROFIT CE NTR E MANAG E M E NT 3 2 4 1 19 A S S E T A N D L I A B I LT Y M A N A G E M E N T We have discussed the concept of value creation and the need for e-Bank to achieve a satisfactory return on equity. Value creation and ROE are useful tools to evaluate the overall performance of e-Bank. However, as the newly appointed CFO, you need to know which business units of e-Bank create value and which ones require intensive care. e-Bank is a complex organization that can be visualized as the sum of several business units.

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