March 2022
These links are useful to an appreciation of Enterprise Risk Adjusted Return Management:
Treasury - A bank within a bank:How a commercial bank's treasury function affects the interest rates set for loans and deposits
https://www.bankofengland.co.uk/-/media/boe/files/quarterly-bulletin/2015/a-bank-within-a-bank-how-a-commercial-banks-treasury-function-affects.pdf?la=en&hash=6544C8470C0CC7F2C5B2DC78009183BCD65B1FC1
Supervisory review process SRP30, Risk management
Version effective as of 15 Dec 2019 https://www.bis.org/basel_framework/chapter/SRP/30.htm
Market Risk https://www.federalreserve.gov/supervisionreg/topics/market_risk_mgmt.htm
Minimum capital requirements for market risk 2019 https://www.bis.org/bcbs/publ/d457.pdf
Interest rate risk in the banking book https://www.bis.org/bcbs/publ/d368.pdf
Credit Risk https://www.federalreserve.gov/supervisionreg/topics/credit_risk.htm
https://www.bankingsupervision.europa.eu/ecb/pub/pdf/ssm.ECBguideassessmentmethodologyEGAM092020~5fa2fc1323.en.pdf
Moody's KMV https://www.moodysanalytics.com/about-us/history/kmv-history
Counterparty credit risk overview - 15 Dec 2019 https://www.bis.org/basel_framework/chapter/CRE/51.htm?inforce=20191215
The standardised approach for measuring counterparty credit risk exposures (Treasury) https://www.bis.org/publ/bcbs279.htm
ECB guide to internal models - Market & Credit Risk https://www.bankingsupervision.europa.eu/ecb/pub/pdf/ssm.guidetointernalmodels_consolidated_201910~97fd49fb08.en.pdf
Liquidity Risk https://www.federalreserve.gov/supervisionreg/topics/liquidity_risk.htm
Liquidity Risk: Management and Supervisory Challenges February 2008 https://www.bis.org/publ/bcbs136.pdf
BIS global liquidity indicators: methodology, April 2019 https://www.bis.org/statistics/gli/gli_methodology.pdf
BIS Working Papers, No 854, 2020 Bank Funding Cost and Liquidity Supply Regimes https://www.bis.org/publ/work854.pdf
Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools https://www.bis.org/publ/bcbs238.pdf
Basel III: the net stable funding ratio https://www.bis.org/bcbs/publ/d295.pdf
Correlations (Correlation is NOT causation) Evaluating “correlation breakdowns” during periods of market volatility https://www.bis.org/publ/confer08k.pdf
Findings on the interaction of market and credit risk (includes liquidity risk) https://www.bis.org/publ/bcbs_wp16.pdf
Policy Advice - Basel III - Credit Value Adjustment & Market Risk https://www.eba.europa.eu/sites/default/documents/files/document_library//EBA-2019-Op-15%20-%20Policy%20Advice%20on%20the%20Basel%20III%20reforms%20on%20credit%20valuation%20adjustment%20%28CVA%29%20and%20market%20risk.pdf
Internal Audit https://na.theiia.org/standards-guidance/recommended-guidance/practice-guides/Pages/GAIT-Methodology.aspx
Guidelines on Stressed Value-At-Risk (Stressed VaR) (EBA/GL/2012/2) https://www.eba.europa.eu/regulation-and-policy/market-risk/guidelines-on-stressed-value-at-risk-stressed-var-