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Improve the Effectiveness of your Product Control Function Effective Product Control is a detailed how-to guide covering everything you need to know about the function. Considered essential reading for: * New controllers entering the profession * Auditors and regulators reviewing product control * Established controllers wanting a refresher on the latest skills and core controls within the industry. Encompassing both a technical skills primer and key insights into core controls used to mit-igate major risks emanating from trading desks, you will get expert advice on practical topics such as: *…mehr
Improve the Effectiveness of your Product Control Function Effective Product Control is a detailed how-to guide covering everything you need to know about the function. Considered essential reading for: * New controllers entering the profession * Auditors and regulators reviewing product control * Established controllers wanting a refresher on the latest skills and core controls within the industry. Encompassing both a technical skills primer and key insights into core controls used to mit-igate major risks emanating from trading desks, you will get expert advice on practical topics such as: * The key IFRS and U.S. GAAP accounting standards for a trading desk * How to approach the pricing of a financial instrument * Market risk and how is it quantified * The controls necessary for a trading desk * Rogue trading and how it can be detected * Valuation adjustments and why they are necessary * How the prices used to value a trading portfolio are independently verified * The financial accounting entries used to record financial instruments in the balance sheet and profit & loss statement * Financial reporting and how the results of a trading desk are presented * How a new financial product can be introduced in a controlled manner Complete with a wealth of insightful graphs, illustrations and real-world examples to enliven the covered material, the dependable answers you need are in Effective Product Control.
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Autorenporträt
PETER NASH is a qualified accountant who has spent almost two decades controlling a wide range of sales and trading desks in Investment and Commercial banks. He is currently a Director of FINSED (www.finsed.com), a financial services training and consulting firm specialising in product control.
Inhaltsangabe
Preface xiii Acknowledgements xv About the Author xvii PART ONE Working in Product Control CHAPTER 1 An Introduction to Product Control 3 The Emergence of Product Control 3 The Purpose of Product Control 3 Different Types of Product Control 5 Skills, Qualifications and Experience 6 Organizational Structure 8 The Desk 10 CHAPTER 2 Changing Landscape of Product Control 15 Offshoring 15 XVA 19 Greater Levels of Capital 19 Greater Focus on Liquidity 20 Notes 21 CHAPTER 3 Key Stakeholders 23 Front Office: Sales and Trading Desk 23 Chief Operating Officers (COOs) 25 Operations 26 Middle Office 27 Market Risk 28 Financial Reporting 29 Management Reporting 29 Finance Change 30 IT 30 Operational Risk 32 Regulatory Reporting 32 Accounting Policy 34 Tax 34 Audit 36 Finance Shared Service 37 Summary 37 Notes 37 PART TWO Technical Skills CHAPTER 4 Accounting Standards: Recognition and Measurement 41 IAS 39 Financial Instruments: Recognition and Measurement 42 IFRS 9: Financial Instruments 60 IFRS 13: Fair Value Measurement 66 Notes 71 CHAPTER 5 Market Risk 75 What Is Market Risk and How Is It Generated? 75 How Is Market Risk Measured by a Bank? 77 Note 85 CHAPTER 6 Pricing Financial Instruments 87 How to Approach the Pricing of a Financial Instrument 87 Pricing Examples 89 Notes 105 CHAPTER 7 Internal Control 107 What Is Internal Control? 107 Establishing an Internal Control Framework 110 Example of Front to Back Internal Controls 117 Notes 122 PART THREE Profit and Loss Controls CHAPTER 8 System Feeds, End of Day Rates and Profit and Loss Estimates 127 System Feeds 127 End of Day 129 End of Day Rates 130 P&L Estimate 135 Note 136 CHAPTER 9 Review of New and Amended Trades 137 New Trades 137 Amended Trades 152 Notes 164 CHAPTER 10 Review of Mark-to-Market P&L 165 Defining Mark-to-Market P&L 165 Attributing MTM P&L 166 Risk-Based P&L Estimates 170 Changes in the End of Day Prices 173 When to Validate the MTM P&L 176 CHAPTER 11 Funding, Fees and Charges 177 Funding 177 Fees and Charges 185 Note 187 CHAPTER 12 Profit and Loss Adjustments 189 The Need for P&L Adjustments 189 Controlling P&L Adjustments 190 Notes 194 CHAPTER 13 Profit and Loss Commentary 195 Who Is the Reader? 198 When Is P&L Commentary Required? 198 CHAPTER 14 Profit and Loss Reconciliations and Sign-Offs 201 Flash vs. Actual 201 Desk P&L Sign-off 203 P&L Reconciliation 205 PART FOUR Valuations CHAPTER 15 Independent Price Verification 209 Components to IPV Process 210 Note 224 CHAPTER 16 Valuation Adjustments 225 Why Valuation Adjustments Are Required 225 Bid-Offer 225 Day 1 Reserves 234 Model Valuation Adjustment 234 XVA and Collateral Agreements 235 Recording and Reporting of VAs 239 Notes 239 PART FIVE Balance Sheet Controls CHAPTER 17 Balance Sheet Substantiation and Analysis 243 Substantiating the Balance Sheet 243 Frequency of the Balance Sheet Substantiation 248 Evidencing the Balance Sheet Substantiation 249 Unsupported Balances 249 Lines of Responsibility 255 CHAPTER 18 Dividending of Profit and Loss and FX Selldown 257 CHAPTER 19 Controlling Nostros 261 Introduction to Nostros 261 Controlling Nostros - Cash Breaks 262 Risk-Weighting Cash and AVE breaks 266 Provisioning for Nostro and AVE Breaks 267 Notes 268 PART SIX Financial Accounting and Reporting CHAPTER 20 Financial Accounting Entries 271 Financial Accounting Entries 271 Chart of Accounts 284 Accounting Rules Engine 286 Notes 289 CHAPTER 21 Financial Reporting and Note Disclosures 291 Context of Financial Reporting 291 Profit and Loss 293 Balance Sheet 295 Netting 297 Fair Value Hierarchy 304 Notes 309 PART SEVEN Supplementary Controls CHAPTER 22 New Product Proposals 313 Starting Line 313 The Review 314 The Sign-Off 319 CHAPTER 23 Rogue Trading 321 The Forefathers of Rogue Trading 321 The Fallout from Rogue Trading - The Bank 323 The Fallout from Rogue Trading - The Industry 325 Going Rogue 325 UBS Rogue Trading Incident, 2011 327 Notes 343 Index 347
Preface xiii Acknowledgements xv About the Author xvii PART ONE Working in Product Control CHAPTER 1 An Introduction to Product Control 3 The Emergence of Product Control 3 The Purpose of Product Control 3 Different Types of Product Control 5 Skills, Qualifications and Experience 6 Organizational Structure 8 The Desk 10 CHAPTER 2 Changing Landscape of Product Control 15 Offshoring 15 XVA 19 Greater Levels of Capital 19 Greater Focus on Liquidity 20 Notes 21 CHAPTER 3 Key Stakeholders 23 Front Office: Sales and Trading Desk 23 Chief Operating Officers (COOs) 25 Operations 26 Middle Office 27 Market Risk 28 Financial Reporting 29 Management Reporting 29 Finance Change 30 IT 30 Operational Risk 32 Regulatory Reporting 32 Accounting Policy 34 Tax 34 Audit 36 Finance Shared Service 37 Summary 37 Notes 37 PART TWO Technical Skills CHAPTER 4 Accounting Standards: Recognition and Measurement 41 IAS 39 Financial Instruments: Recognition and Measurement 42 IFRS 9: Financial Instruments 60 IFRS 13: Fair Value Measurement 66 Notes 71 CHAPTER 5 Market Risk 75 What Is Market Risk and How Is It Generated? 75 How Is Market Risk Measured by a Bank? 77 Note 85 CHAPTER 6 Pricing Financial Instruments 87 How to Approach the Pricing of a Financial Instrument 87 Pricing Examples 89 Notes 105 CHAPTER 7 Internal Control 107 What Is Internal Control? 107 Establishing an Internal Control Framework 110 Example of Front to Back Internal Controls 117 Notes 122 PART THREE Profit and Loss Controls CHAPTER 8 System Feeds, End of Day Rates and Profit and Loss Estimates 127 System Feeds 127 End of Day 129 End of Day Rates 130 P&L Estimate 135 Note 136 CHAPTER 9 Review of New and Amended Trades 137 New Trades 137 Amended Trades 152 Notes 164 CHAPTER 10 Review of Mark-to-Market P&L 165 Defining Mark-to-Market P&L 165 Attributing MTM P&L 166 Risk-Based P&L Estimates 170 Changes in the End of Day Prices 173 When to Validate the MTM P&L 176 CHAPTER 11 Funding, Fees and Charges 177 Funding 177 Fees and Charges 185 Note 187 CHAPTER 12 Profit and Loss Adjustments 189 The Need for P&L Adjustments 189 Controlling P&L Adjustments 190 Notes 194 CHAPTER 13 Profit and Loss Commentary 195 Who Is the Reader? 198 When Is P&L Commentary Required? 198 CHAPTER 14 Profit and Loss Reconciliations and Sign-Offs 201 Flash vs. Actual 201 Desk P&L Sign-off 203 P&L Reconciliation 205 PART FOUR Valuations CHAPTER 15 Independent Price Verification 209 Components to IPV Process 210 Note 224 CHAPTER 16 Valuation Adjustments 225 Why Valuation Adjustments Are Required 225 Bid-Offer 225 Day 1 Reserves 234 Model Valuation Adjustment 234 XVA and Collateral Agreements 235 Recording and Reporting of VAs 239 Notes 239 PART FIVE Balance Sheet Controls CHAPTER 17 Balance Sheet Substantiation and Analysis 243 Substantiating the Balance Sheet 243 Frequency of the Balance Sheet Substantiation 248 Evidencing the Balance Sheet Substantiation 249 Unsupported Balances 249 Lines of Responsibility 255 CHAPTER 18 Dividending of Profit and Loss and FX Selldown 257 CHAPTER 19 Controlling Nostros 261 Introduction to Nostros 261 Controlling Nostros - Cash Breaks 262 Risk-Weighting Cash and AVE breaks 266 Provisioning for Nostro and AVE Breaks 267 Notes 268 PART SIX Financial Accounting and Reporting CHAPTER 20 Financial Accounting Entries 271 Financial Accounting Entries 271 Chart of Accounts 284 Accounting Rules Engine 286 Notes 289 CHAPTER 21 Financial Reporting and Note Disclosures 291 Context of Financial Reporting 291 Profit and Loss 293 Balance Sheet 295 Netting 297 Fair Value Hierarchy 304 Notes 309 PART SEVEN Supplementary Controls CHAPTER 22 New Product Proposals 313 Starting Line 313 The Review 314 The Sign-Off 319 CHAPTER 23 Rogue Trading 321 The Forefathers of Rogue Trading 321 The Fallout from Rogue Trading - The Bank 323 The Fallout from Rogue Trading - The Industry 325 Going Rogue 325 UBS Rogue Trading Incident, 2011 327 Notes 343 Index 347
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