Liquidity Risk Management: A Practitioner's Perspective

ISBN-13: 9781118881927 / Angielski / Twarda / 2016 / 304 str.

Shyam Venkat; Stephen Baird

Opis

The most up-to-date, comprehensive guide on liquidity risk management--from the professionals Written by a team of industry leaders from the Price Waterhouse Coopers Financial Services Regulatory Practice, Liquidity Risk Management is the first book of its kind to pull back the curtain on a global approach to liquidity risk management in the post-financial crisis. Now, as a number of regulatory initiatives emerge, this timely and informative book explores the real-world implications of risk management practices in today's market. Taking a clear and focused approach to the operational and financial obligations of liquidity risk management, the book builds upon a foundational knowledge of banking and capital markets and explores in-depth the key aspects of the subject, including governance, regulatory developments, analytical frameworks, reporting, strategic implications, and more. The book also addresses management practices that are particularly insightful to liquidity risk management practitioners and managers in numerous areas of banking organizations.

• Each chapter is authored by a Price Waterhouse Coopers partner or director who has significant, hands-on expertise
• Content addresses key areas of the subject, such as liquidity stress testing and information reporting
• Several chapters are devoted to Basel III and its implications for bank liquidity risk management and business strategy
• Includes a dedicated, current, and all-inclusive look at liquidity risk management

Complemented with hands-on insight from the field's leading authorities on the subject, Liquidity Risk Management is essential reading for practitioners and managers within banking organizations looking for the most current information on liquidity risk management.

Spis treści

CHAPTER 1 Introduction 1
Shyam Venkat and Stephen Baird

PART ONE Measuring and Managing Liquidity Risk

CHAPTER 2 A New Era of Liquidity Risk Management 7
Shyam Venkat

CHAPTER 3 Liquidity Stress Testing 27
Stephen Baird

CHAPTER 4 Intraday Liquidity Risk Management 55
Barry Barretta and Stephen Baird

CHAPTER 5 The Convergence of Collateral and Liquidity 81
Thomas Ciulla, Bala Annadorai, and Gaurav Joshi

CHAPTER 6 Early Warning Indicators 105
Bruce Choy and Girish Adake

CHAPTER 7 Contingency Funding Planning 121
Chi Lai and Richard Tuosto

CHAPTER 8 Liquidity Risk Management Information Systems 141
Saroj Das, Shyam Venkat, and Chi Lai

CHAPTER 9 Recovery and Resolution Planning—Liquidity 183
Pranjal Shukla

PART TWO The Regulatory Environment of Liquidity Risk Supervision

CHAPTER 10 Supervisory Perspectives on Liquidity Risk Management 201
Kevin Clarke

CHAPTER 11 LCR, NSFR, and Their Challenges 213
Claire Rieger and John Elliott

PART THREE Optimizing Business Practices

CHAPTER 12 Strategic and Tactical Implications of the New Requirements 239
Hortense Huez

CHAPTER 13 Funds Transfer Pricing and the Basel III Framework 251
Stephen Baird, Bruce Choy, and Daniel Delean

CHAPTER 14 Liquidity and Funding Disclosures 263
Alejandro Johnston

Biographies 277

Index 279

O autorze

SHYAM VENKAT is a PwC principal in the firm′s Financial Services Advisory practice in the U.S. He specializes in treasury and risk management for both financial services and non–financial services clients. He is a founding member of PwC′s risk practice.

STEPHEN BAIRD is a PwC director in the firm′s Financial Services Advisory practice. He specializes in treasury and risk management for financial institutions.

Blurb

Practical insights into liquidity risk management—now and into the future

Liquidity Risk Management is a practitioner′s guide to exploring the key aspects of liquidity risk management, including governance, regulatory developments, analytical frameworks, reporting, data and infrastructure, and strategic implications.

Culled from the extensive experiences of PricewaterhouseCoopers′s client delivery teams, this in–depth guide features an informative and diverse collection of real world knowledge and firsthand perspectives on the evolution of liquidity risk management practices and the direction of their future–state designs. This compendium on liquidity risk management provides insights that can help firms leverage their liquidity risk management capabilities and enhance competitive positioning with:

• A deep understanding of the impact regulation has on liquidity risk management and the importance of maintaining an internal management–driven agenda fueled by a continual enhancement of the firm′s capabilities
• An integrated framework for managing liquidity risk that considers linkages with other risk types as well as core business drivers such as strategic planning, incentives, and profitability measurement
• Industry–proven insights into building an infrastructure to efficiently automate the capture, storage, and transformation of data to enhance management decision–making