Effective Product Control : Controlling for Trading Desks.
Peter. Nash
Bok Engelsk 2017 · Electronic books.
| Omfang | 1 online resource (376 pages)
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| Opplysninger | Intro -- Effective Product Control -- Contents -- Preface -- Acknowledgements -- About the Author -- PART ONE Working in Product Control -- 1 An Introduction to Product Control -- The Emergence of Product Control -- The Purpose of Product Control -- Different Types of Product Control -- P& -- L Only -- P& -- L: Balance Sheet and Financial Reporting Focus -- Skills, Qualifications and Experience -- Organizational Structure -- The Desk -- The Trading Floor -- Pressures of Supporting the Desk -- 2 Changing Landscape of Product Control -- Offshoring -- My View -- Risky Choices -- Benefits -- XVA -- Greater Levels of Capital -- Greater Focus on Liquidity -- Notes -- 3 Key Stakeholders -- Front Office: Sales and Trading Desk -- Chief Operating Officers (COOs) -- System Infrastructure -- Onboarding New Products -- Daily Operational Effectiveness -- Forecasted Revenues, Costs, and Balance Sheet -- Operational Risk Incident (ORI) -- Implement Firm-Wide Changes -- Operations -- Middle Office -- Market Risk -- Financial Reporting -- Management Reporting -- Finance Change -- IT -- Operational Risk -- Regulatory Reporting -- Accounting Policy -- Tax -- Audit -- Internal Audit -- External Audit -- Finance Shared Service -- Summary -- Notes -- PART TWO Technical Skills -- 4 Accounting Standards: Recognition and Measurement -- IAS 39 Financial Instruments: Recognition and Measurement -- Recognizing a Financial Asset or Liability -- Derecognizing a Financial Asset -- Derecognizing a Financial Liability -- IFRS 9: Financial Instruments -- Recognition and De-recognition -- Classification and Measurement -- IFRS 13: Fair Value Measurement -- Defining Fair Value -- Arriving at Fair Value -- U.S. GAAP and Fair Value Measurement -- Notes -- 5 Market Risk -- What Is Market Risk and How Is It Generated? -- How Is Market Risk Measured by a Bank? -- The Greeks -- VaR.. - Day One P& -- L -- Who Is the Reader? -- When Is P& -- L Commentary Required? -- Escalating P& -- L and the Related Commentary -- Other P& -- L Commentary -- 14 Profit and Loss Reconciliations and Sign-Offs -- Flash vs. Actual -- Apples to Apples -- Desk P& -- L Sign-off -- P& -- L Reconciliation -- PART FOUR Valuations -- 15 Independent Price Verification -- Components to IPV Process -- 1. Identifying the Fair Valued Financial Assets and Liabilities -- 2. Price Discovery - Sourcing Fair Values from the Market -- Calculating Price Variances -- Reporting on the Outcomes of the IPV Process -- Note -- 16 Valuation Adjustments -- Why Valuation Adjustments Are Required -- Bid-Offer -- Quantifying the Bid-Offer Valuation Adjustment -- Day 1 Reserves -- Model Valuation Adjustment -- XVA and Collateral Agreements -- CSA -- Credit Value Adjustment (CVA) and Debit Value Adjustment (DVA) -- Funding Value Adjustment (FVA) -- Recording and Reporting of VAs -- Notes -- PART FIVE Balance Sheet Controls -- 17 Balance Sheet Substantiation and Analysis -- Substantiating the Balance Sheet -- 1. Identify an Appropriate Source that Supports the Accounts Balance -- 2. Confirm that the Account Used to Record the Amount is Appropriate -- 3. The Balance and Its Movement are in Line with the Activities of the Business -- Frequency of the Balance Sheet Substantiation -- Evidencing the Balance Sheet Substantiation -- Unsupported Balances -- Lines of Responsibility -- 18 Dividending of Profit and Loss and FX Selldown -- Additional Items to Consider -- 19 Controlling Nostros -- Introduction to Nostros -- Controlling Nostros - Cash Breaks -- Risk-Weighting Cash and AVE breaks -- Provisioning for Nostro and AVE Breaks -- Notes -- PART SIX Financial Accounting and Reporting -- 20 Financial Accounting Entries -- Financial Accounting Entries -- Stock -- Loan -- Bond.. - Interest Rate Swap -- FX Forward -- Futures -- Chart of Accounts -- Accounting Rules Engine -- Notes -- 21 Financial Reporting and Note Disclosures -- Context of Financial Reporting -- Legal Entity View -- Intercompany and Intracompany Transactions -- Timings -- Labelling -- Profit and Loss -- Balance Sheet -- Derivative Assets and Liabilities -- Counterparty Type -- Netting -- IFRS -- U.S. GAAP -- Disclosures Relating to Netting -- Fair Value Hierarchy -- Level 1 -- Level 2 -- Level 3 -- U.S. GAAP -- Notes -- PART SEVEN Supplementary Controls -- 22 New Product Proposals -- Starting Line -- The Review -- The Sign-Off -- 23 Rogue Trading -- The Forefathers of Rogue Trading -- The Fallout from Rogue Trading - The Bank -- Regulators -- Job Losses -- Reputational Losses -- Credit Ratings -- The Fallout from Rogue Trading - The Industry -- Going Rogue -- Why Does a Trader Go Rogue? -- How Does a Trader Go Rogue? -- How Does a Rogue Trader Conceal Their Crime? -- UBS Rogue Trading Incident, 2011 -- Background -- The Trading Activities Which Caused the Losses -- Concealing the Crime and Weak Controls -- How Was the Fraud Detected? -- Other Significant Operational Losses -- Notes -- Index -- EULA.. - Stress Testing -- Note -- 6 Pricing Financial Instruments -- How to Approach the Pricing of a Financial Instrument -- Special Features -- Pricing examples -- Spot FX -- FX Forward -- Bonds -- Interest Rate Swap -- FX Option -- Pricing Add-ons -- Notes -- 7 Internal Control -- What is Internal Control? -- Establishing an Internal Control Framework -- The Board and Senior Management -- Regulatory Requirements -- Market Practice -- Type of Business -- Example of Front to Back Internal Controls -- Notes -- PART THREE Profit and Loss Controls -- 8 System Feeds, End of Day Rates and Profit and Loss Estimates -- System Feeds -- End of Day -- End of Day Rates -- Externally Sourced Rates -- Trader Sourced Rates -- P& -- L Estimate -- Note -- 9 Review of New and Amended Trades -- New Trades -- Why New Trades Are Generated -- Reviewing New Trades -- Presentation of New Trade P& -- L -- Amended Trades -- Why Are Trades Amended? -- Avoidable vs. Unavoidable Amendments -- Presentation of P& -- L from Amended Trades -- Notes -- 10 Review of Mark-to-Market P& -- L -- Defining Mark-to-Market P& -- L -- Attributing MTM P& -- L -- Waterfall Method -- Restored Method -- Other Sub-attributes -- FX Revaluation -- Fixings -- Risk-Based P& -- L estimates -- Fixings -- Changes in the End of Day Prices -- Do the End of Day Prices Agree to the Market? -- What Has Driven the Change in Prices? -- When to Validate the MTM P& -- L -- 11 Funding, Fees and Charges -- Funding -- Drivers of Funding -- How a Desk Funds Itself -- Analysis of Funding P& -- L -- Rogue Trading Control -- Fees and Charges -- Above the Line Expenses -- Note -- 12 Profit and Loss Adjustments -- The Need for P& -- L Adjustments -- Controlling P& -- L Adjustments -- Independent Verification -- Recording -- Reporting -- Escalation -- Notes -- 13 Profit and Loss Commentary.
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9781118939796
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| ISBN(galt) |
