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Liquidity Risk Management: A Practitioner's Perspective



Liquidity Risk Management: A Practitioner's Perspective

Shyam Venkat, Stephen Baird

ISBN: 978-1-118-91878-4 March 2016 304 Pages


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.

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