Fund transfer pricing (FTP) is fundamental to evaluate the profitability of deposits and loans. Following the global banking crisis, this paper seeks to draw attention to five issues that have been previously ignored: rationing on the interbank market, the creation of a Basel III contingency...

More stringent regulations on bank capital, liquidity and corporate structure have been passed to increase the resilience of the global banking system. In this essay, we analyze the impact of these regulations and call attention to the fact that the banks' responses might create unintended evil:...

The paper presents a pedagogical yet rigorous analysis of fund transfer pricing for deposits with undefined maturity. The objective is to identify the conditions needed to convert the case of deposits with undefined maturity into one with a single effective maturity. This in turn allows us to...

The purpose of the tutorial paper is to present a model to value banks. Three traditional models are summarized briefly first. Next, a ‘fundamental' bank valuation model is introduced. Based on sound economics and finance principles, it allows to identify the various sources of value and to...

Following up on the publication of the Walker Report (2009) in the United Kingdom, international organizations such as the Basel Committee (2010), the OECD (2010), and the European Union (2010) have proposed guidelines to improve bank corporate governance and, more specifically, risk governance....