Recently I started working in a bank as a modeler, one of the possible topic is FTP - Fund Transfer Pricing. After I studied that subject a little on wiki and read a website or two in that field I gained a little knowledge in that area.
But apparently very little.
I mean, when I understood is the purpose of FTP, and the approach in general, such as find representative products to decide the points on the grid, choose interpolation method, then do some qualitative adjustments due to business needs.
I feel that their language is yet unclear.
I am looking for a book that bridges this gap.
I hope it could explain where modelling come into place, and what are the industry practices. for example, how to
- Derive an appropriate bank credit spread for funds which are 12 Months and below?
- Obtain an appropriate bid ask spread for the Bank’s funding curve?
Also I hope it gives some more detailed part on the business side, such as how the approaches shall change according to each bank/financial institute's main business.