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Challenges in implementing a robust rates transfer pricing framework
Journal of Risk Management in Financial Institutions,
9
(4),
344-350
(2016)
Abstract
This paper describes the rates transfer pricing (RTP) process, its link with the liquidity transfer pricing process, and identifies the main challenges that banks face when implementing a robust RTP framework. The paper also briefly covers the RTP governance structure.
Keywords: rates transfer pricing; funds transfer pricing; liquidity transfer pricing; interest rate risk in the banking book; behaviouralisation; governance
The full article is available to subscribers to the journal.
Author's Biography
Juan Ramirez is a professional in the Bank Treasury Advisory Team at Deloitte London, specialising in risk management, hedge accounting and bank capital. Before joining Deloitte Juan worked for 20 years in investment banking in sales and trading at JP Morgan, Lehman Brothers, Barclays Capital, Santander and BNP Paribas. He has been involved with interest rate, equity, FX and credit derivatives risk management. Juan holds an MBA from the University of Chicago and a BSc in electrical engineering from ICAI in Spain. He is the author of the books ‘Accounting for Derivatives’, ‘Handbook of Corporate Equity Derivatives and Equity Capital Markets’ and the upcoming ‘Handbook of Basel III Capital’.
Citation
Ramirez, Juan (2016, October 1). Challenges in implementing a robust rates transfer pricing framework. In the Journal of Risk Management in Financial Institutions, Volume 9, Issue 4. https://doi.org/10.69554/DLOY4513.
© Henry Stewart
Publications LLP
Publications LLP