{"id":2076,"date":"2013-10-01T00:06:33","date_gmt":"2013-09-30T22:06:33","guid":{"rendered":"http:\/\/www.economiaediritto.it\/?p=2076"},"modified":"2014-03-10T22:27:15","modified_gmt":"2014-03-10T21:27:15","slug":"the-role-of-treasury-in-portfolio-management-part-iii","status":"publish","type":"post","link":"https:\/\/www.economiaediritto.it\/es\/the-role-of-treasury-in-portfolio-management-part-iii\/","title":{"rendered":"The role of Treasury in Portfolio Management – Part III"},"content":{"rendered":"

by Leonardo Orlando<\/strong><\/p>\n

Last time we explained how Treasury role can become crucial in the portfolio management, highlighting the four main pillars where it can provide its value:<\/p>\n

A. Business Decision Making Support<\/p>\n

B. Liquidity & Funding Optimisation<\/p>\n

C. Asset & Liability Management Optimisation<\/p>\n

D. Capital Management Optimisation<\/p>\n

This article will focus on pillar C \u2013 Asset & Liability Management Optimisation. As part of its core function, Treasury needs to optimise the Banking book, minimising the market risk impact on it.<\/p>\n

In previous article we defined as main targets the consolidation of the interest rate risk management across ALM & Execution (Treasury FO), which I will deep dive into.<\/p>\n

Consolidation of the interest rate risk management across ALM & Execution (Treasury FO): in Financial Services it is crucial to minimise the risk that market interest rate fluctuation would impact on the Asset & Liability position of the Bank. So the following golden rules need to be followed:<\/p>\n

\u2022 Ensure an effective balance\u2013sheet management<\/p>\n

o Define a balance sheet strategy, which meets treasury strategy and risk appetite<\/p>\n

o Implement a fully integrated Balance Sheet forecasting process<\/p>\n

o Analyse A& L composition, verifying it is constantly aligned to the balance sheet forecast<\/p>\n

\u2022 Minimise Banking Book Market Risk<\/p>\n

o Implement a key performance monitoring framework aligned with Risk management<\/p>\n

o Identify, measure and constantly report interest rate and fx risk, based on the predefined KPIs<\/p>\n

\u2022 Recommend the appropriate mix between equity and debt<\/p>\n

o Implement a benchmark framework to measure Bank\u2019s leverage vs Competitors<\/p>\n

o Implement the rating strategy into a consistent monitor and control framework<\/p>\n

o Implement a structured analytics framework to monitor and control equity\/debt mix<\/p>\n

\u2022 Determine the liquidity risk appetite<\/p>\n

o Quantify the liquidity buffer \u20acdriven by the Balance Sheet strategy<\/p>\n

o Analyse the regulatory liquidity requirements<\/p>\n

o Determine a liquidity risk appetite consistent with the Balance Sheet strategy and the regulatory requirements<\/p>\n

\"Immagine1\"<\/a><\/p>\n

\n","protected":false},"excerpt":{"rendered":"

by Leonardo Orlando Last time we explained how Treasury role can become crucial in the portfolio management, highlighting the four main pillars where it can provide its value:<\/p>\n","protected":false},"author":1377,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_bbp_topic_count":0,"_bbp_reply_count":0,"_bbp_total_topic_count":0,"_bbp_total_reply_count":0,"_bbp_voice_count":0,"_bbp_anonymous_reply_count":0,"_bbp_topic_count_hidden":0,"_bbp_reply_count_hidden":0,"_bbp_forum_subforum_count":0,"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","enabled":false},"version":2}},"categories":[10,773,17],"tags":[284,710],"class_list":["post-2076","post","type-post","status-publish","format-standard","hentry","category-rubriche-economiche","category-numero-di-ottobre-2013","category-treasury-in-financial-services","tag-economiaediritto-it-numero-6-di-ottobre-2013","tag-www-economiaediritto-it-numero-6-di-ottobre-2013-rivista-di-economia-e-diritto-numero-6-di-ottobre-2013"],"translation":{"provider":"WPGlobus","version":"3.0.2","language":"es","enabled_languages":["it","en","es"],"languages":{"it":{"title":true,"content":true,"excerpt":false},"en":{"title":false,"content":false,"excerpt":false},"es":{"title":false,"content":false,"excerpt":false}}},"jetpack_publicize_connections":[],"jetpack_featured_media_url":"","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p9CRXF-xu","jetpack_likes_enabled":true,"jetpack-related-posts":[],"_links":{"self":[{"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/posts\/2076","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/users\/1377"}],"replies":[{"embeddable":true,"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/comments?post=2076"}],"version-history":[{"count":1,"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/posts\/2076\/revisions"}],"predecessor-version":[{"id":4341,"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/posts\/2076\/revisions\/4341"}],"wp:attachment":[{"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/media?parent=2076"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/categories?post=2076"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.economiaediritto.it\/es\/wp-json\/wp\/v2\/tags?post=2076"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}