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.
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.
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