Thought Leadership

Thought Leadership

The BTRM Thought Leadership series is designed to bring to light latest thinking on the future of banking and finance, including ideas and innovations that will enable the markets to serve consumers and society better. Recognising that finance is not an exact science and is as much an art, we welcome qualitative articles aimed at practitioners interested in a best-practice and honest approach to banking. Articles may focus on any area of economics, finance and banking and should be between 1500 and 3500 words. We encourage accessibility, transparency and clear language.

CISI TV Interview: The Banking Sector Today (Video Discussion) - April 2023

As part of its CPD series, George Littlejohn, Senior Advisor at The Chartered Institute for Securities & Investment, invited Professor Moorad Choudhry to discuss various aspects of topical issue in banking today...amongst other things the conversation covered Silicon Valley Bank, a bank's risk management framework and risk register, Board effectiveness and the qualities of Neal Ardley as a teambuilder and leader! All in 16 minutes. 


Implementing PRA CP4/23: The Strong and Simple Framework - March 2023

by Claire Trythall

The PRA has just published CP4/23, which describes changes to the prudential liquidity risk and reporting framework for non-systemic UK banks. This is expected to result in material reduction in the regulatory compliance burden, whilst retaining the requirement to maintain a robust balance sheet. The consultation paper is 45 pages long, in our latest Thought Leadership article Claire Trythall distils all the key points into 4 pages....


Is Blockchain the real failure? - January 2023

by Periklis Thivaios

The bankruptcy of FTX and other recent crypto ecosystem failures have not shaken the pervasive belief in the value and potential of blockchain, the technology underlying crypto assets.
Yet, blockchain applications have (up until now, at least) failed to transform – let alone disrupt – any industry, despite the billions of dollars invested in the technology over the past decade.


From Pandemic to Financial Contagion: High-Frequency Risk Metrics and Bayesian Volatility Analysis - February 2021

by Milivoje Davidovic

This is an academic journal article, and specifically an event-based study that uses intraday (hourly) log returns to quantify Conditional Value-at-Risk and MCMC stochastic volatility levels before and during the Covid-19 pandemic (January 2019–June 2020) across the stock, commodity and cryptocurrency markets.

The author's results indicate increased pandemic-induced risk exposure (using the expected shortfall measure), increasing volatility, and stronger cross-market integration. Such effects might reduce the potential benefits of cross-market hedging and hence, potentially, contribute to a global financial contagion. This in turn would impose an additional constraint in banks' risk management strategy, as well as on the national macroprudential policy framework.

From a practitioner perspective we conclude therefore that at the present time, until the crisis has played out more fully, banks follow a more rather than less risk averse asset origination and funding strategy.


An overview of Basel III/IV key segments and EU CRDV - September 2020

by Professor Moorad Choudhry

The final strands of Basel III guidelines have implications for some banks that are as significant as the original tenets from 2008-10! For this reason many commentators have taken to calling it "Basel IV", despite the fact that this is not its formal designation. In this summary we present an overview of the key segments of "Basel IV", as implemented in the European Union under the label "CRDV". We also suggest that the requirements of "MREL" are a "Pillar 4" to add to the original 3 Pillar approach of Basel II/III. And all acronyms are explained in the slide deck!


Analysis of bond market sensitivity to economic news when monetary policy is constrained by limitations: an ALM desk perspective - July 2019

by Balamurali Radhakrishnan

Our occasional contributor Balamurali Radhakrishnan makes a welcome return to BTRM with a succinct but incisive piece on a commonly discussed theme, that of monetary policy and zero interest rates, but from the much less commonly observed perspective of the bank's ALM desk. We're sure you'll like the piece.


The ALCO: Template Terms of Reference - January 2019

by Professor Moorad Choudhry

Following on from Part I of our feature last month on the bank's asset-liability committee (ALCO), and how to make it more "real" and effective, we now present Part II, which is our recommended template ALCO Terms of Reference. This file is taken from the website accompanying the book Moorad Choudhry Anthology, and is designed for small and large commercial banking institutions alike.


The ALCO: making the most important bank committee more effective and more real - November 2018

by Professor Moorad Choudhry

Ringo Starr entitled his compilation album Blast From The Past. On occasion when speaking or writing about the importance of a bank’s asset-liability committee (ALCO) and how to ensure it remains fit-for-purpose, I’m reminded of that charming exercise in nostalgia. Some topics remain important in perpetuity, and in banking making the ALCO effective is one of them.


ICAAP Best-Practice Principles High Level Summary - October 2018

by Professor Moorad Choudhry

Further to my recent ICAAP Case Study example shared here a few weeks ago, the link below is to the associated slide deck on high level best-practice principles for the ICAAP process. It's taken from the website for the book "Anthology: Past, Present and Future Principles of Banking and Finance", published this summer by John Wiley and Sons Ltd. Unsurprisingly, the ICAAP topic covers an entire chapter of that book!


Practical issues in yield curve construction - October 2018

by Professor Moorad Choudhry

While regulatory requirements and balance sheet risk management topics occupy a large chunk of Anthology: Past, Present and Future Principles of Banking and Finance, practical considerations in other aspects of banking must still occupy our focus! The link below is to a presentation from the book's associated website, entitled "Market Inputs to the Yield Curve", and is an accessible summary of what types of curve building methods one should consider using - as we see, the answer, like so much in finance, begins with "It depends....", and in this case it depends on what exactly one is using the yield curve for. There is, as usual, more than one "right" answer...


ICAAP review and challenge and specimen ToC - October 2018

by Professor Moorad Choudhry

A bank's ICAAP submission is a comprehensive document and a time- and resource-intensive process. There are many nuances to it, and of course the ultimate objective is to demonstrate that the bank is adequately capitalised under all plausible, yet severe, stress events. The topic occupies an entire chapter in "Anthology: Past, Present and Future Principles of Banking and Finance", while the book's companion website contains a slide deck on ICAAP Best-Practice Principles. Also on the website is the file given at the link below, which is an extract from a "review and challenge" of certain aspects of an hypothetical ICAAP, including the stress scenario setting process. It also suggests a specimen Table of Contents. I hope to follow this up with an extract from the best-practice slide deck in due course.


Understanding your Net Interest Margin (NIM) - September 2018

by Professor Moorad Choudhry & Chris Westcott

With the strategic ALM objectives of bank balance sheet management nowadays to the fore, being aware of the expected impact on NIM following multi-scenario changes in rates, spreads and product types, both short- and long-term, becomes ever more important. The link below presents a vanilla case study for NIM sensitivity analysis in Excel format, written by my co-author Chris Westcott, and is extracted from the accompanying website for "Anthology: Past, Present and Future Principles of Banking and Finance" (Wiley 2018). Of course in practice there are a lot more scenarios to model, but this worksheet is an excellent demonstration of the fundamentals. 

Follow this link for the zip file that includes both the Spreadsheet and Case Study Commentary:


ALM and risk management: it's a bank-wide discipline - August 2018

by Professor Moorad Choudhry

More and more banks are offering (or indeed in some cases requiring!) their front-line RMs and other customer-facing staff some form of in-house Certification that ties in disciplines such as customer service with balance sheet risk management topics.
It's something I discuss in Anthology: Past, Present and Future Principles of Banking and Finance (John Wiley & Sons 2018), exactly what form and content such a programme of learning should exhibit. The attached is a high-level summary of the learning outcomes that one might expect to see in a well-constructed in-house certificate on banking best-practice.


The "Libor Term Premium" - August 2018

by Professor Moorad Choudhry

Here's a Blast From The Past (no, not the Ringo Starr compilation album) that is a talking point again now the market is going to be replacing LIBOR with a new reference, which will differ for USD, GBP and EUR. In GBP the replacement SONIA rate (hopefully quoted as a 3M and 6M SONIA fixing, although that's to be confirmed) may incorporate a credit premium at outset, reflecting that Libor always had one and Sonia doesn't. And what is the Libor-Sonia differential? At present it's about 12 bps, but of course it fluctuates. But in fact understanding the original overnight-3M Libor Term Premium was worthwhile even we re-present Chapter 10 from Professor Choudhry's book "Bank Asset-Liability Management", published in April 2007, which talks about just that. A Golden Oldie to remind us that we should be thinking seriously about the ALM impact of, and management actions required by, the SONIA replacement reference rate.


Managing Intraday Liquidity - April 2018

by Christian Buschmann & Holger Westermann

According to Jurgilas and Žikeš (2012), almost every central bank regime distinct between overnight liquidity and intraday liquidity in their monetary policy frameworks. This distinction can be either done explicitly, in terms of interest rates charged, or implicitly, through different eligibility criteria for collateral.


Machine Learning in Banking: How to Transform Balance Sheet Management and Customer Service Provision - April 2018

by Professor Moorad Choudhry

Moorad Choudhry's article on using machine learning systems in banking, and how their adoption can transform a large number of processes from front to back... published this month in The European Financial Review (Apr-May 2018).


Derivatives, Collateral Management, "mVA" and NSFR - March 2018

by Professor Moorad Choudhry & Kevin Liddy

The cocktail of acronyms introducing this post should be enough to make most people run (at least) a country mile, however for all banks that use derivatives they represent some very important balance sheet management issues, at least for Treasury, Risk and Finance people plus anyone with an interest in optimising Margin Value Adjustment (mVA)and the impact of derivatives collateral cashflows on net stable funding ratio (NSFR). The attached presentation is from a co-author of mine Mr Kevin Liddy, and is taken from the website for my new book "Anthology: Past, Present and Future Principles of Banking and Finance". It highlights all the key items that need to be addressed not just by dealer banks but also any bank that uses derivatives to for structural balance sheet hedging.


ALCO Approval Submission Template - March 2018

by Professor Moorad Choudhry

The asset-liability committee (ALCO) is, or should be, the paramount balance sheet risk forum and authority in any bank, and I dedicate an entire chapter (Chapter 10) of my forthcoming book "Anthology: Past, Present and Future Principles of Banking and Finance" to discussing best-practice for ALCO governance and infrastructure. As a "taster", attached here is a template that one would use for an ALCO approval submission paper, taken from the book's associated website.


Anthology: Promo 2-chapter e-Minibook - March 2018

by Professor Moorad Choudhry

It only took 6 years (!), but happy now to report that my book "Anthology: Past. Present and Future Principles of Banking and Finance" is published today by John Wiley & Sons. As a taster, attached here is a 2-chapter e-Minibook (an extract from Part IV of the book, which is on Strategy, Governance and Culture). I do hope you find the e-Minibook, as well as the book itself, of value.


Funds Transfer Pricing Best-Practice Principles - March 2018

by Professor Moorad Choudhry

In response to requests for more detail on the opaque "FTP" topic that I discussed last week, and ahead of publication of my book "Anthology: Past, Present and Future Principles of Banking and Finance" (being published by John Wiley & Sons Ltd on 4th April), I present here an extract from the book's companion website, a slide deck on "FTP best-practice principles".


Understanding the Supervisory Review and Evaluation Process (SREP) - March 2018

by Professor Moorad Choudhry & Dr. Polina Bardaeva

Ahead of the publication next month of Anthology: Past, Present and Future Principles of Banking and Finance, I present here an extract from the book's companion website. The Supervisory Review and Evaluation Process (SREP) is essentially the regulator's assessment of a bank's capital adequacy (with similar L-SREP for liquidity) and the slide deck, co-written with Dr. Polina Bardaeva, is an accessible and succinct summary to understanding the SREP's critical details. We hope you find it of value.


Bank funds transfer pricing: keeping it simple but effective - March 2018

by Professor Moorad Choudhry

Internal funds transfer pricing in banks is one of the more arcane (not to mention turgid) topics in finance. But FTP is an important part of the liquidity risk management framework, hence the importance attached to it by regulatory authorities. As such, the subject occupies a good chunk of the chapter on liquidity management in my forthcoming book Anthology: Past, Present and Future Principles of Banking and Finance. Ahead of the publication of Anthology next month, here is a brief intro to the topic around the theme of keeping things simple, but effective.


Template Board Risk Appetite Statement - February 2018

by Professor Moorad Choudhry

Ahead of the publication of Moorad Choudhry's book "Anthology: Past, Present and Future Principles of Banking and Finance", we present an extract from that publication which is a recommended template Board Risk Appetite Statement, as formatted for the hypothetical commercial bank "ABC Bank Ltd". An explicit Board Risk statement that specifies both quantitative and qualitative risk limits is the first step to robust and long-term sustainable balance sheet management.


Bank Liquidity and Capital Best-Practice Principles, 2-Chapter e-Minibook - February 2018

by Professor Moorad Choudhry

With the publication last month from BCBS of the final chapter in Basel III, the key part of which confirmed the 72.5% output floor for RWAs applicable to any bank that applies an internal ratings based approach, firms can now proceed with their final form capital and liquidity management and planning, since every piece of the puzzle is now in place. Of course the core tenets of Basel III have been known since 2010…in that regard, and in anticipation of the publication next month of Moorad Choudhry Anthology, we present Chapters 12 and 16 from his earlier book The Principles of Banking. The first chapter discusses the liquidity risk management aspect of Basel III and its impact, while the second chapter considers both the capital and strategy-setting impact of that regulatory directive. While some banks are affected more than others, there is no doubt that every bank will wish to structure as optimised a balance sheet as possible.


Bank Treasury Best Practice: 


by Team BTRM

Strategic ALM and Integrated Balance Sheet Management: The Future of Bank Risk Management

by Professor Moorad Choudhry

The traditional approach to asset-liability management (ALM) practice in banks operated as a reactive process following product origination by the customer-facing business. In the Basel III era a more proactive approach to ALM is required, in order to manage the balance sheet from an effective viability and sustainability standpoint. The article describes proactive “Strategic ALM” discipline and its implementation process. 
Taken from The European Financial Review, Aug-Sep 2017 (



De-Stress Tests for Strategic Treasury

by David Castle
May 2017



Hypothesis: Risk, like Mass and Energy, Can Neither be Created nor Destroyed

Discuss, CISI, The Review of Financial Markets, issue 13, p6-8, Quarter 2, May 2017.

by Q G Rayer and W Dickson (2017)

This article was originally published in the CISI members’ magazine The Review.
Republished with permission.

Courtesy of P1 Investment Management



Finance and Financial Economics

by Pablo Fernandez, University of Navarra - IESE Business School

Reproduced with permission from SSRN. First published 30 Jan 2017.


Analysing and Interpreting the Yield Curve

by Professor Moorad Choudhry

A golden oldie by Professor Moorad Choudhry from his series of internal presentations at RBS Global Banking & Markets during 2011...


Decoding Distress

by Jaafar Hussain, VP and Quantitative Analyst at Bank ABC, Bahrain
February 2017

Given recent news surrounding Deutsche Bank and the speculation about its financial position, Jaafar Hussain, VP in Market Risk Management at Bank ABC explains the framework that the bank uses to monitor the financial health of such financial institutions.


Best-practice Funds Transfer Pricing Principles

by Professor Moorad Choudhry
January 2017


Basel III LCR is a business model changer: How will it impact your bank?

by Professor Moorad Choudhry
December 2016

Compliance with Basel III LCR carries implications for banks beyond merely a robust liquidity management regime.
Professor Moorad Choudhry considers some wider issues…