Resources for SA10

The Actuarial Society of South Africa's (ASSA) syllabus learning material for its 'B200 Banking Applications' exam is also the source for IFoA students registered for the IFoA SA10 Banking Advanced exam. Students can follow links to references to 'Additional Reading' in ASSA's 'B200: Banking Applications' in the resources listed below.

Please refer to ASSA, 'B200: Banking Applications' as primary reading material for the exam and for guidance on specific 'Additional Reading' resources listed below. This page supports members in locating the resources which ASSA identifies as complementary for the exam.

Books and eBooks

• The principles of banking. Choudhry, M. John Wiley, 2012. ISBN: Print 9780470827024.
  (Borrow from libraries) | Access ebook after member login to Actuarial Knowledge Hub via OpenAthens)
• Analyzing banking risk: a framework for assessing corporate governance and risk management. 4th ed. -  Van Greuning, H. and Brajovic Bratanovic, S. World Bank. 2020. eISBN:  9781464815188.
  (Access ebook after member login to IFoA eLibrary via OpenAthens)
• Asset/Liability management for financial institutions: maximising shareholder value through risk-conscious investing. - Tilman, L. Euromoney, 2003. ISBN:  Print 9781843741244.
  (Borrow from libraries)
• Asset and liability management for financial institutions: balancing financial stability with strategic objectives. - Swarup, B. Bloomsbury Academic, 2007. eISBN:  9781849300582.
  (Access ebook after member login to IFoA eLibrary via OpenAthens)
• Banking asset and liability management: strategy, training, analysis. - Choudhry, M. -  John Wiley, 2007. eISBN: 9781118177211.
  (Access ebook after member login to Actuarial Knowledge Hub via OpenAthens)
• Enterprise risk management from incentives to controls. 2nd ed. - Lam, J. - John Wiley, 2014. Print ISBN 9781118413616
  (Borrow from libraries) | Access eBook after member login to IFoA eLibrary via OpenAthens)
• Interest rate modelling. James, J. and Webber, N.. John Wiley, 2012. ISBN: 0471975230; 9780471975236.
  (Borrow from libraries)

IFoA members and students, you can log in with your member credentials to access the Actuarial Knowledge Hub, where you can search for the ebook titles. Alternatively, you can follow the 'Access ebook' links above.

Online resources referenced as 'Additional Reading' in ASSA 'B200: Banking Applications'

(Open-access URL links on titles of references below following the related ASSA B200 chapter topic: all accessed 19 January 2022)

Credit risk management

• Choudhry, M. (2012). The principles of banking. John Wiley, 2012. Print ISBN: 9780470827024. Chapter 3.
  (Access ebook after member login to Actuarial Knowledge Hub via OpenAthens)
• Van Greuning, H. and Brajovic Bratanovic, S. (2020). Analyzing banking risk: a framework for assessing corporate governance and risk management. 4th ed. World Bank. 2020. eISBN:  9781464815188. Chapter 7.
  (Access ebook after member login to Actuarial Knowledge Hub via OpenAthens)

Market risk management

• Choudhry, M. (2012). The principles of banking. John Wiley, 2012. Print ISBN: 9780470827024. Chapter 1, 5-11.
  (Access ebook after member login to Actuarial Knowledge Hub via OpenAthens) 
• Basel Committee on Banking Supervision (2019). Credit Valuation Adjustment risk: targeted final revisions. November 2019. Bank for International Settlements (BIS), 2019. eISBN 9789292593209. 
• Basel Committee on Banking Supervision (2019). Margin requirements for non-centrally cleared derivatives. July 2019. Bank for International Settlements (BIS), 2019. eISBN 9789292592912
• Financial Sector Conduct Authority (South Africa); Prudential Authority (2020). Margin requirements for non-centrally cleared OTC derivative transactions. 2020.
• FinCAD Corporation (2011). Basics of credit value adjustments and impacts for the assessment of hedge effectiveness. FinCAD; KPMG, 2011.
• Ernst & Young (company) (2014). Hedge accounting under IFRS 9. February 2014.
• PriceWaterhouseCoopers (PWC) (2016). Practical guide: General hedge accounting. November 2016.

Treasury management

• Choudhry, M. (2007). Banking asset and liability management: strategy, training, analysis. Choudhry, M. John Wiley, 2007. ISBN: 9781118177211. Chapter 28.
  (Access ebook after member login to Actuarial Knowledge Hub via OpenAthens)
• Choudhry, M. (2012). The principles of banking. John Wiley, 2012. ISBN: 9780470827024. Chapter 15.
  (Access ebook after member login to Actuarial Knowledge Hub via OpenAthens)
• Basel Committee on Banking Supervision (2011). Interpretive issues with respect to the revisions to the market risk framework. July 2011. Bank for International Settlements (BIS), 2011. eISBN 9291978671.
• Basel Committee on Banking Supervision (2013). Fundamental review of the trading book: a revised market risk framework. October 2013. Bank for International Settlements (BIS), 2013. eISBN 9291979716.
• Basel Committee on Banking Supervision (2019). Minimum capital requirements for market risk. February 2019. Bank for International Settlements (BIS), 2019. eISBN 9789292592912.
• European Banking Authority (2010). Guidelines on liquidity cost benefit allocation. October 2010.
• European Central Bank (2009). EU banks’ funding structures and policies. May 2009. eISBN 9789289904483.
• Financial Stability Institute (FSI) (2011). Liquidity transfer pricing: a guide to better practice. December 2011. Bank for International Settlements (BIS), 2011.

Liquidity management

• Bank of England; Prudential Regulation Authority (2015; 2016). Supervisory Statement 24/15 The PRA’s approach to supervising liquidity and funding risks. June 2015, updated.
• Basel Committee for Banking Supervision. (2013). Liquidity stress testing: A survey of theory, empirics and current industry and supervisory practices. October 2013. Bank for International Settlements (BIS), 2013.
• Basel Committee for Banking Supervision (2013). Literature review of factors relating to liquidity stress. October 2013. Bank for International Settlements (BIS), 2013.
• European Banking Authority [website]. Guidelines for common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing.
• European Banking Authority [website]. Regulation and policy: Rulebook: Common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing.
• European Central Bank (2018). Guide to the internal liquidity adequacy assessment process (ILAAP). November 2018.
• South African Reserve Bank (2015). Circular C4/2015: Matters related to banks’ compliance with the prescribed requirements related to the Liquidity Coverage Ratio (LCR) and High-Quality Liquid Assets (HQLA). April 2015.
• South African Reserve Bank (2016). Circular C5/2015: Matters of interpretation relating to the Liquidity Coverage Ratio. May 2016.

Governance

• Choudhry, M. (2012). The principles of banking. - John Wiley, 2012. Print ISBN: 9780470827024. Chapter 2, 9, 10, 16, 17, 18.
  (Access ebook after member login to Actuarial Knowledge Hub via OpenAthens)
• Lam, J. (2014). Enterprise risk management from incentives to controls. 2nd ed. - John Wiley & Sons Ltd, 2014. Pages 67-71, 391. (Borrow from libraries) | Access eBook after member login to IFoA eLibrary via OpenAthens)

Corporate governance

• Basel Committee for Banking Supervision. [website]. Basel III: international regulatory framework for banks. Bank for International Settlements.
• Deloitte (company) (2014). The different types of directors. Deloitte & Touche, 2014.
• Financial Reporting Council (FRC, UK) [website]. Audit and assurance. (as updated)
• Fitch Ratings [website].
• Fitch Ratings (2015). Evaluating corporate governance. December 2015. 
• Global Legal Group; International Comparative Legal Guides [website]. United Kingdom: Corporate governance laws and regulations. (as updated) 
• Institute of Directors, South Africa (2021). General guidance note on board composition. June 2021.
• NEDonBoard (company) [website]. What are the key differences between executive and non-executive directors?
• Public Company Accounting Oversight Board (PCAOB, USA) [website]. Auditing standards. (as updated)
• Rajgopal, S.l Srinavasan; Wong, F. (2019). Bank boards: what has changed since the global financial crisis? (Harvard Business School Working Paper; 19-108): South African Reserve Bank; Prudential Authority [website]. Prudential regulation.

Artificial intelligence and data protection

• European Commission. High-level Expert Group on Artificial Intelligence (website). https://digital-strategy.ec.europa.eu/en/policies/expert-group-ai
• European Commission (2021). Proposal for a regulation of the European Parliament and of the Council laying down harmonised rules on artificial intelligence (Artificial Intelligence Act) and amending certain Union legislative acts. 2021
• Institute of International Finance (IIF). Data ethics charter. June 2021. [document]
• Singapore Digital (SG:D); InfoComm Media Development Authority (Singapore); Personal Data Protection Commission (PDPC) (2020). Model artificial intelligence governance framework. 2^nd edition.

Strategy

• Management Study Guide (company) [website]. Introduction to information technology (IT) strategy.
• Shevlin, R. (2019). How much do banks spend on technology?  April 2019. Forbes, 2019.

Problem-solving

• James, J. and Webber, N. (2012). Interest rate modelling. - John Wiley & Sons, 2012. ISBN: 0471975230; 9780471975236. 
  (Borrow from libraries)
• Swarup, B. (2007) Asset and liability management for financial institutions: balancing financial stability with strategic objectives. - Swarup, B. Bloomsbury Academic, 2007. eISBN:  9781849300582.
  (Access ebook after member login to Actuarial Knowledge Hub via OpenAthens)
• Tilman, L. (2003). Asset/Liability management for financial institutions: maximising shareholder value through risk-conscious investing. - Euromoney Books, 2003. ISBN:  Print 9781843741244. (Borrow from libraries)

Liquidity risk

• Board of Governors of the Federal Reserve System (‘The Federal Reserve’) (USA) [website]. Liquidity risk. (as updated)
• European Banking Authority [website]. Liquidity risk.
• Pushkina, N., (2013). A simple funds transfer pricing model for a commercial bank. February 2013. Thesis for Masters of Management in Finance and Investment. University of the Witwatersrand, Faculty of Law and Commerce, 2013.
• Svensson, L.E.O. (1994). Estimating and interpreting forward rates. Sweden 1992-4. (National Bureau of Economic Research Working Paper; no. 4871)

Cyber risk

• Actuarial Society of South Africa; System and Technology Committee [website]. Survey results and presentations.
• Blanco, J.M. (2021). Analysis of a cyber attack: Capital One.[website blog article]
• IF Consultants (company). (n.d.). Cyber risk in banking. [not accessed]
• Neto, M.N. et al. (2020). A case study of the Capital One data breach. (MIT Sloan Management School, Working Paper; CISL#-2020-07). January 2020.
• RSA (company) (USA) (2016). Cyber risk appetite: defining and understanding risk in the modern enterprise. Compliance Week, 14 December 2016.

Blockchain

• ABSA Bank Group (company); Doing Business in South Africa (organisation) ([2016]). Innovation in Blockchain trade finance deals. [website article]. IMA Ltd.
• Barclays (company) (2016). Blockchain revolution in trade finance. 30 September 2016. [website article]
• Church, Z. (2017). Blockchain, explained. [website blog article]. MIT Sloan Management School, 2017.
• Euromoney Learning ([2020]). What is Blockchain? [website article]
• Hayes, A. (2022). Blockchain explained. Investopedia; Dotdash, 2022. [website article]
• Smart Contracts Alliance (organisation) (2016). Smart contracts: 12 use cases for business & beyond: a technology, legal & regulatory introduction. December 2016. Chamber of Digital Commerce, 2016.
• South African Reserve Bank ([2018]). Project Khokha: exploring the use of distributed ledger technology for internet payments settlement in South Africa.
• Sultan, K. et al. (2018). Conceptualizing Blockchains: characteristics & applications. 11th IADIS International Conference Information Systems 2018. ISBN 978-989-8533-74-6

Reading Lists

• Banking reading list. Curated by Iain Allan FIA. Institute and Faculty of Actuaries, 2020.
• Books and ebooks on banking. IFoA Library catalogue search.