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- Title
Modern Risk-Based Funds Transfer Pricing.
- Authors
Skoglundt, Jimmy
- Abstract
Funds transfer pricing of the banks banking book products is the core mechanism for banks to distribute incentives for pricing the risks bank products carry as well as measure ex-ante performance. Historically, traditional matched maturity funds transfer pricing centralizes the interest rate risk and integrates banks core processing costs in the funds transfer price. However, risk based transfer pricing, covering a wide range of risks such as credit and liquidity, is now becoming a core part of banks funds transfer pricing programs. Indeed, the integration of all risk costs in banks funds transfer pricing programs are critical to achieving an efficient steering of the banks profitability, and, fair measurement of the ex-ante performance. This paper focuses on the core risk components that banks need to consider in their funds transfer pricing programs and their associated risk adjusted performance measurement.
- Publication
Journal of Performance Management, 2013, Vol 25, Issue 2, p3
- ISSN
1949-971X
- Publication type
Academic Journal