Description
Book SynopsisThe most up-to-date, comprehensive guide on liquidity risk managementfrom 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 li
Table of Contents
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 and Daniel Shanks
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
