The liquidity management guide from policy to pitfalls
Liquidity risk is in the spotlight of both regulators and management teams across the banking industry. The European banking regulator has introduced and implemented a stronger liquidity regulatory framework and local regulators have made liquidity a top priority on their supervisory agenda. Banks h...
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| Format: | eBook |
| Language: | English |
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Chichester, West Sussex
John Wiley & Sons
2014
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| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- 4.6 Liquidity from a macroeconomic perspective
- the singular case of contagion risk and asymmetric information 5 The Appropriate Liquidity Framework
- Introduction to the '6 Step Framework'; 5.1 Setting the stage
- from policy to a practical framework; 5.2 The heightened regulatory focus on liquidity; 5.3 Recommended liquidity risk management framework
- The '6 Step Framework'; 6 Step I: Sources of Liquidity Risk; 6.1 The 10 Sources of Liquidity Risk; 6.1.1 Definition of retail and wholesale liabilities; 6.1.2 Wholesale funding risk; 6.1.3 Retail funding risk; 6.1.4 Intraday liquidity risk
- 7.3 The liquidity reserve 7.3.1 A liquidity reserve or a liquidity buffer?; 7.3.2 How to review the risk appetite?; 8 Step III: Governance and High-Level Policy; 8.1 The role of the Board of directors; 8.2 The role of senior management; 8.2.1 First down then up again; 8.3 High-level liquidity policies and strategies; 8.4 Liquidity policy; 8.5 Funding strategy; 8.5.1 Examination of the business strategy/plan requirements; 8.5.2 Assessment of funding sources and their attractiveness; 8.5.3 Medium- and longer-term funding plans; 8.6 Funds transfer pricing
- Includes bibliographical references and index
- 6.1.5 Intragroup liquidity risk 6.1.6 Off-balance sheet liquidity risk; 6.1.7 Cross-currency liquidity risk; 6.1.8 Funding cost risk; 6.1.9 Asset risk; 6.1.10 Funding concentration risk; 6.1.11 Correlation and contagion risk; 7 Step II: Risk Appetite; 7.1 The risk appetite statement; 7.1.1 Eggs, omelettes and a free lunch in the Board room; 7.2 Drawing up a risk appetite statement; 7.2.1 Risk appetite set at the appropriate level; 7.2.2 Liquidity risk statement
- tolerance limit approach; 7.2.3 Liquidity risk statement
- survival time period or scenario-based approach
- The Liquidity Risk Management Guide; Contents; Preface; List of Figures; 1 Introduction; 1.1 The importance of an overarching liquidity risk management framework; 1.2 The '6 Step Framework'; 1.3 The structure of the book; 2 Primer in Banking; 2.1 Risk in banking; 2.1.1 Managing the risk; 2.1.2 The bank's balance sheet; 3 The ALM Function
- The Framework on Top of Liquidity Management; 3.1 ALM within risk, finance and the businesses; 3.1.1 Centralization versus decentralization; 3.1.2 Accounting and ALM; 3.2 The Asset-Liability Committee (ALCO); 3.3 Areas covered by ALCO
- 3.3.1 Interest rate risk management 3.3.2 Liquidity risk management; 3.3.3 Capital reporting and management; 3.3.4 Setting or recommending risk limits; 3.4 Enhanced role of the ALM unit; 4 Liquidity
- Background and Key Concepts; 4.1 Definitions and more definitions; 4.1.1 Liquidity
- definition; 4.1.2 Liquidity risk; 4.2 The liquidity gap; 4.3 The timing factor of liquidity risk: tactical, structural and contingent; 4.4 It's all about the 'L' word; 4.5 Liquidity, solvency and capital