Effective Product Control
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Nash Peter. Effective Product Control
Preface
Acknowledgements
About the Author
Part 1. Working in Product Control
CHAPTER 1. An Introduction to Product Control
The Emergence of Product Control
The Purpose of Product Control
Different Types of Product Control
Skills, Qualifications and Experience
Organizational Structure
The Desk
CHAPTER 2. Changing Landscape of Product Control
Offshoring
XVA
Greater Levels of Capital
Greater Focus on Liquidity
CHAPTER 3. Key Stakeholders
Front Office: Sales and Trading Desk
Chief Operating Officers (COOs)
Operations
Middle Office
Market Risk
Financial Reporting
Management Reporting
Finance Change
IT
Operational Risk
Regulatory Reporting
Accounting Policy
Tax
Audit
Finance Shared Service
Summary
Part 2. Technical Skills
CHAPTER 4. Accounting Standards: Recognition and Measurement
IAS 39 Financial Instruments: Recognition and Measurement
CHAPTER 5. Market Risk
What Is Market Risk and How Is It Generated?
How Is Market Risk Measured by a Bank?
CHAPTER 6. Pricing Financial Instruments
How to Approach the Pricing of a Financial Instrument
Pricing examples
CHAPTER 7. Internal Control
What is Internal Control?
Establishing an Internal Control Framework
Example of Front to Back Internal Controls
Part 3. Profit and Loss Controls
CHAPTER 8. System Feeds, End of Day Rates and Profit and Loss Estimates
System Feeds
End of Day
End of Day Rates
P&L Estimate
CHAPTER 9. Review of New and Amended Trades
New Trades
Amended Trades
CHAPTER 10. Review of Mark-to-Market P&L
Defining Mark-to-Market P&L
Attributing MTM P&L
Risk-Based P&L estimates
Changes in the End of Day Prices
When to Validate the MTM P&L
CHAPTER 11. Funding, Fees and Charges
Funding
Fees and Charges
CHAPTER 12. Profit and Loss Adjustments
The Need for P&L Adjustments
Controlling P&L Adjustments
CHAPTER 13. Profit and Loss Commentary
Who Is the Reader?
When Is P&L Commentary Required?
CHAPTER 14. Profit and Loss Reconciliations and Sign-Offs
Flash vs. Actual
Desk P&L Sign-off
P&L Reconciliation
Part 4. Valuations
CHAPTER 15. Independent Price Verification
Components to IPV Process
CHAPTER 16. Valuation Adjustments
Why Valuation Adjustments Are Required
Bid–Offer
Day 1 Reserves
Model Valuation Adjustment
XVA and Collateral Agreements
Recording and Reporting of VAs
Part 5. Balance Sheet Controls
CHAPTER 17. Balance Sheet Substantiation and Analysis
Substantiating the Balance Sheet
Frequency of the Balance Sheet Substantiation
Evidencing the Balance Sheet Substantiation
Unsupported Balances
Lines of Responsibility
CHAPTER 18. Dividending of Profit and Loss and FX Selldown
CHAPTER 19. Controlling Nostros
Introduction to Nostros
Controlling Nostros – Cash Breaks
Risk-Weighting Cash and AVE breaks
Provisioning for Nostro and AVE Breaks
Part 6. Financial Accounting and Reporting
CHAPTER 20. Financial Accounting Entries
Financial Accounting Entries
Chart of Accounts
Accounting Rules Engine
CHAPTER 21. Financial Reporting and Note Disclosures
Context of Financial Reporting
Profit and Loss
Balance Sheet
Netting
Fair Value Hierarchy
Part 7. Supplementary Controls
CHAPTER 22. New Product Proposals
Starting Line
The Review
The Sign-Off
CHAPTER 23. Rogue Trading
The Forefathers of Rogue Trading
The Fallout from Rogue Trading – The Bank
The Fallout from Rogue Trading – The Industry
Going Rogue
UBS Rogue Trading Incident, 2011
Index
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Отрывок из книги
Effective Product Control
Controlling for Trading Desks
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The type of analytical work can vary at each bank, but typically the controller will analyse those components of the financials which can have a significant influence on the behaviour of the desk. This can vary quarter by quarter, but some examples include balance sheet usage, brokerage fees, capital, liquidity, return on assets, and so on.
Additionally, the controller will spend more time analysing the health of the control framework in finance to ensure the level of operational risk is not excessive. You could say that this role is becoming more akin to a CFO role.
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