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Risk management articles
Transfer pricing articles
Profitability measurement articles

Risk Management

Article	Description	Publication	Date
Stochastic and Term Structure Rate Models			February 2007
Quality Not Quantity		Financial Solutions International	September 2006
Risk Adjusted Return on Capital (RAROC): The One True Metric	Applicability of RAROC in CPM framework	Journal of Performance Management	January 2006
Economic Valuation of Invested Capital	An Operating Perspective to Long-Term Interest Rate Risk	Financial Managers Society White Paper	December 2005
Weights and Averages	Using averages and weighing of data in modeling risk.	Bank Asset/Liability Management	October 2004
Indeterminate Maturity Accounts, Net Interest margins, Valuations and Risk	Risk and modeling considerations for NMDs	Bank Asset/Liability Management	August/September 2005
Modern Tools for Interest Rate Risk Management	IRR measurement tools, including EVE and long-term income simulation	Bank Asset/Liability Management	August/September 2004
Modern Approaches to Valuation	IRR tools, including EVE and long-term income simulation -- available in English and Chinese	Banking Today	July/August 2004
An Alternative View of Non-Maturity Deposit Modeling	Modeling core deposits for EV risk analysis.	Bank Asset/Liability Management	May 2004
Loan Level Characteristics are Key to Quantifying Economic Loss	Credit risk for mortgages is analyzed under an extreme stress scenario	Secondary Marketing Executive	February 2004
An Economic Perspective to Basis Risk in Core Deposits	Economic approach to spread risk measurement	Bank Asset/Liability Management	February and March 2003
Peeking Into Basel's Black Box	Basel II IRB approach to credit risk	Bank Asset/Liability Management	November 2002
"Building Charge-Off Forecasts for A/L Modeling"	(Forecasting charge-offs from mortgage loan pools)	Bank Asset/Liability Management	July 2002
Encouraging Long-Term Value From Asset/Liability Management Process -- Parts 1 and 2	Significant benefits available in balance sheet initiatives	Bank Asset/Liability Management	September and October 2001
High Performance Design for Interest Rate Risk Policy	IRRs policy components for profitable lending and deposit gathering	Bank Asset/Liability Management	February 2001
Credit Risk Management: A Framework for Analysis	Credit risk modeling in A/LM	Bank Asset/Liability Management	June 2000
The Forsaken Side of Risk Management: Have Deterministic Approaches Gone Too Far? (longer version of Risk Professional article, September 1999)	Philosophy of deterministic risk measurement	Bank Asset/Liability Management AMIfs Journal of Bank Cost & Management Accounting	March 2000 July 2000
Have Deterministic Approaches Gone too Far?	Discussion of deterministic risk measurements	Risk Professional	September 1999
Moving from A/L Management to Risk Management	Need a broader approach to risk management	Bank Accounting and Finance	Winter 1998-1999
Funds Transfer Pricing and A/L Modeling	Alternative uses of FTP in forecasting and risk measurement	Bank Asset/Liability Management	September 1998
The Search for Perfect Information	Sources of assumptions for simulation models	The Treasurer	April 1998
The Risk of Rate Shocks on EVE	Interpreting interest rate shocks of balance sheet valuations	Bank Asset/Liability Management	November - December 1997
Asset/Liability Management: A Global Perspective	ALM is more than interest rate risk	Bank Asset/Liability Management	November 1997
Interpreting the Economic Value of Equity	Valuing balance sheet equity	Bank Asset/Liability Management	April 1997
Why VAR is in Vogue	Explanation of value-at-risk for structural banking book	Balance Sheet	Fall 1996
Turning Data Into Information	Importance of data warehouse software	Credit Union News	August 9 1996
An Interest Rate Risk Management Primer	Introduction to understanding interest rate risk	Credit Union News	August 11 1995
Doing it the Right Way	Ingredients of an effective ALM process	US Banker	May 1995
Go With the Flow	Stochastic interest rate processes	Balance Sheet	Spring 1995
Spread the Load	Option adjusted spread analysis	Balance Sheet	Summer 1994
Credit Risk and ALM in a Market Value World	Credit spreads influence on interest rate risk	Bank Asset/Liability Management	January 1994

Transfer Pricing

Article	Description	Publication	Date
Transfer-Pricing Indeterminate-Maturity Deposits		Journal of Bank Cost & Management Accounting	March 2006
To FTP or Not to FTP - That is the Question!	Discussion of what parts of the balance sheet should be transfer priced	Journal of Performance Management	November 2004
Funds Transfer Pricing: What Questions A/L Managers Should Ask	Transfer pricing capital and fixed assets	Bank Asset/Liability Management	September 2003
Transfer Pricing Embedded Retail Options -- Parts 1 and 2	Transfer pricing options for loans and deposits	Bank Asset/Liability Management	November and December 2000
Making A/L Management Performance Count	Measuring ALM management effectiveness	Bank Accounting & Finance	Fall 2000
Funds Transfer Pricing and A/L Modeling	Alternative uses of FTP in forecasting and risk measurement	Bank Asset/Liability Management	September 1998
Choosing a Funds-Transfer-Pricing Method: Practical Considerations	Comparing results of various FTP methods	Bank Accounting & Finance	Summer 1997
Funds Transfer Pricing	Fundamental introduction to FTP concepts	Bank Asset/Liability Management	December 1994
Funds Transfer Pricing: Cost Accounting for the Net Interest Margin	A cost accounting view of FTP	Bank Asset/Liability Management	April 1994

Profitability Measurement

Article	Description	Publication	Date
Return on Capital: The Primary Measure of Customer Value	Capital assignment at the customer level	Bank Accounting & Finance	Winter 2000-2001
Incorporating Customer Behavior into Continuous Profitability and Risk Measurement Processes	Modeling customer behavior	AMIfs Journal of Bank Cost & Management Accounting (Vol. 12, No. 3)	November 1999
Choosing Methods for Capital Allocation	Capital Assignment	Bank Accounting & Finance	Fall 1998
Capital Ideas: Ways of Assigning Capital to Lines of Business	Capital assignment	Bank Accounting & Finance	Summer 1996