The role of funds transfer pricing in liquidity management process of a commercial bank
The role of funds transfer pricing in liquidity management process of a commercial bank

Summary/Abstract: The changes introduced by Basel III framework tend to reflect on the impact that new regulations, particularly those relating to liquidity, will have on the banking sector. Implementation of new liquidity measures, in the case of Polish market will force banks to raise a substantial amount of high quality assets while the need to achieve an adequate indicators’ level will significantly reduce the supply of credit. These indicators, although transparent, are not able to capture the specificity of the banks and the market in which they operate. The aim of the article is to present the current methods of risk measurement: those introduced by EU guidelines, as well as those that have been implemented only in the Polish market. Separately, the role of funds transfer pricing will be presented and their application to estimate the costs and benefits of liquidity.

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