| Description |
1 online resource (1 volume) : illustrations |
| Bibliography |
Includes bibliographical references and index. |
| Contents |
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 |
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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 |
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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 |
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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 |
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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 |
| Summary |
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 have accordingly followed suit. Liquidity risk is now a topic widely discussed in boardrooms as banks strive to set up a strong and efficient liquidity risk management framework which, while maintaining sufficient resources, does not jeopardize the necessary profitability and return targets. |
| Subject |
Bank liquidity.
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Bank management.
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Risk management.
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Asset-liability management.
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Banques -- Liquidité. |
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Banques -- Gestion. |
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Gestion du risque. |
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Gestion des actifs et des passifs. |
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risk management. |
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Asset-liability management |
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Bank liquidity |
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Bank management |
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Risk management |
| Other Form: |
Print version: Adalsteinsson, Gudni, 1967- Liquidity management guide. Chichester : John Wiley & Sons, 2014 9781118858004 (OCoLC)883894509 |
| ISBN |
111885800X |
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9781118858004 |
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9781118858028 (e-book) |
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1118858026 (e-book) |
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