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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. The…mehr
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- Produktdetails
- Verlag: John Wiley & Sons
- Seitenzahl: 216
- Erscheinungstermin: 8. Mai 2014
- Englisch
- ISBN-13: 9781118858011
- Artikelnr.: 41004016
- Verlag: John Wiley & Sons
- Seitenzahl: 216
- Erscheinungstermin: 8. Mai 2014
- Englisch
- ISBN-13: 9781118858011
- Artikelnr.: 41004016
overarching liquidity risk management framework 3 1.2 The '6 Step
Framework' 4 1.3 The structure of the book 5 1.4 Additional material -
templates 6 2 Primer in Banking 7 2.1 Risk in banking 7 2.1.1 Managing the
risk 9 2.1.2 The bank's balance sheet 11 3 The ALM Function - The Framework
on Top of Liquidity Management 13 3.1 ALM within risk, finance and the
businesses 14 3.1.1 Centralization versus decentralization 14 3.1.2
Accounting and ALM 15 3.2 The asset-liability committee (ALCO) 16 3.3 Areas
covered by ALCO 17 3.3.1 Interest rate risk management 18 3.3.2 Liquidity
risk management 18 3.3.3 Capital reporting and management 19 3.3.4 Setting
or recommending risk limits 19 3.4 Enhanced role of the ALM unit 20 4
Liquidity - Background and Key Concepts 23 4.1 Definitions and more
definitions 23 4.1.1 Liquidity - definition 23 4.1.2 Liquidity risk 25 4.2
The liquidity gap 26 4.3 The timing factor of liquidity risk: tactical,
structural and contingent 27 4.4 It's all about the 'L' word 30 4.5
Liquidity, solvency and capital 30 4.6 Liquidity from a macroeconomic
perspective - the singular case of contagion risk and asymmetric
information 31 5 The Appropriate Liquidity Framework - Introduction to the
'6 Step Framework' 35 5.1 Setting the stage - from policy to a practical
framework 35 5.2 The heightened regulatory focus on liquidity 36 5.3
Recommended Liquidity risk management framework - The '6 Step Framework' 38
6 Step I: Sources of Liquidity Risk 43 6.1 The 10 sources of liquidity risk
45 6.1.1 Wholesale funding risk 46 6.1.2 Retail funding risk 50 6.1.3
Intraday liquidity risk 57 6.1.4 Intragroup liquidity risk 60 6.1.5
Off-balance sheet liquidity risk 61 6.1.6 Cross-currency liquidity risk 63
6.1.7 Funding cost risk 63 6.1.8 Asset risk 64 6.1.9 Funding concentration
Risk 65 6.1.10 Correlation and contagion risk 66 7 Step II: Risk Appetite
69 7.1 The risk appetite statement 69 7.1.1 Eggs, omelettes and a free
lunch in the board room 69 7.2 Drawing up a risk appetite statement 70
7.2.1 Risk appetite set at the appropriate level 71 7.2.2 Liquidity risk
statement - tolerance limit approach 73 7.2.3 Liquidity risk statement -
survival time period or scenario-based approach 75 7.3 The liquidity
reserve 76 7.3.1 A liquidity reserve or a liquidity buffer? 78 7.3.2 How to
review the risk appetite? 78 8 Step III: Governance and High-Level Policy
81 8.1 The role of the board of directors 82 8.2 The role of senior
management 83 8.2.1 First down then up again 84 8.3 High-level liquidity
policies and strategies 84 8.3.1 Additional material 85 8.4 Liquidity
policy 85 8.5 Funding strategy 88 8.5.1 Examination of the business
strategy/plan requirements 88 8.5.2 Assessment of funding sources and their
attractiveness 90 8.5.3 Medium and longer term funding plans 91 8.6 Funds
transfer pricing 95 8.6.1 Funds transfer pricing in a nutshell 96 8.6.2 The
FTP principles and objectives 97 8.6.3 Construction of an FTP model 98
8.6.4 The FTP method in two steps 99 8.6.5 The pooled (average) cost method
103 8.6.6 The matched funding method 104 8.6.7 Funds transfer pricing in
application 105 9 Step IV: The Quantitative Framework 111 9.1 Different
ways to measure liquidity 111 9.1.1 Balance sheet analysis 112 9.1.2 Cash
flow analysis 115 10 Step V: Stress Testing and the Contingency Funding
Plan 123 10.1 Stress testing - the heart of the liquidity framework 123
10.1.1 How banks perform their stress tests 124 10.1.2 Where stress tests
failed during the financial crises 124 10.1.3 The principles of stress
testing 125 10.1.4 Stress testing within the '6 Step Framework' 126 10.1.5
Picking the model 126 10.1.6 The limitation of VaR for liquidity risk
stress testing 127 10.1.7 The deterministic 'what if' approach 127 10.1.8
Setting of the deterministic scenario 128 10.1.9 Choice of severity 129
10.1.10 Choice of time horizon 132 10.1.11 Scenario stress testing, step by
step 133 10.1.12 Define the scenarios 134 10.1.13 Playing out the scenario
135 10.1.14 Analysing the outcome 141 10.2 Final note on scenario stress
testing 145 10.2.1 Reverse stress testing 146 10.3 Contingency funding plan
(CFP) - the SPADE of the liquidity framework 146 10.3.1 The regulatory
requirement 148 10.3.2 Why banks need a CFP 148 10.3.3 The CFP process 149
10.3.4 Spotting the risk - triggers and early warning indicators 150 10.3.5
Assessing the risk and alert level - the boy who cried wolf 153 10.3.6
Decisions and action plans 155 10.3.7 Execution 160 11 Step VI: Reporting
and Management Information 169 11.1 Internal controls and internal audit
processes 171 12 Basel III: The New Global Framework 173 12.1 Basel III -
beyond the buzzwords 173 12.1.1 The basel committee on banking supervision
(BCBS) 173 12.1.2 Short summary of the regulatory framework leading up to
basel III 173 12.1.3 Basel III 174 12.1.4 Capital requirements directive
(CRD) and the single rulebook 176 12.2 The basel III liquidity ratios 177
12.3 The liquidity coverage ratio (LCR) 178 12.3.1 Challenges the LCR Will
Bring to the liquidity framework 180 12.3.2 The basel III definitions and
stress assumptions 181 12.3.3 LCR common disclosure template 183 12.4 The
net stable funding ratio (NSFR) 185 Bibliography 187 Index
overarching liquidity risk management framework 3 1.2 The '6 Step
Framework' 4 1.3 The structure of the book 5 1.4 Additional material -
templates 6 2 Primer in Banking 7 2.1 Risk in banking 7 2.1.1 Managing the
risk 9 2.1.2 The bank's balance sheet 11 3 The ALM Function - The Framework
on Top of Liquidity Management 13 3.1 ALM within risk, finance and the
businesses 14 3.1.1 Centralization versus decentralization 14 3.1.2
Accounting and ALM 15 3.2 The asset-liability committee (ALCO) 16 3.3 Areas
covered by ALCO 17 3.3.1 Interest rate risk management 18 3.3.2 Liquidity
risk management 18 3.3.3 Capital reporting and management 19 3.3.4 Setting
or recommending risk limits 19 3.4 Enhanced role of the ALM unit 20 4
Liquidity - Background and Key Concepts 23 4.1 Definitions and more
definitions 23 4.1.1 Liquidity - definition 23 4.1.2 Liquidity risk 25 4.2
The liquidity gap 26 4.3 The timing factor of liquidity risk: tactical,
structural and contingent 27 4.4 It's all about the 'L' word 30 4.5
Liquidity, solvency and capital 30 4.6 Liquidity from a macroeconomic
perspective - the singular case of contagion risk and asymmetric
information 31 5 The Appropriate Liquidity Framework - Introduction to the
'6 Step Framework' 35 5.1 Setting the stage - from policy to a practical
framework 35 5.2 The heightened regulatory focus on liquidity 36 5.3
Recommended Liquidity risk management framework - The '6 Step Framework' 38
6 Step I: Sources of Liquidity Risk 43 6.1 The 10 sources of liquidity risk
45 6.1.1 Wholesale funding risk 46 6.1.2 Retail funding risk 50 6.1.3
Intraday liquidity risk 57 6.1.4 Intragroup liquidity risk 60 6.1.5
Off-balance sheet liquidity risk 61 6.1.6 Cross-currency liquidity risk 63
6.1.7 Funding cost risk 63 6.1.8 Asset risk 64 6.1.9 Funding concentration
Risk 65 6.1.10 Correlation and contagion risk 66 7 Step II: Risk Appetite
69 7.1 The risk appetite statement 69 7.1.1 Eggs, omelettes and a free
lunch in the board room 69 7.2 Drawing up a risk appetite statement 70
7.2.1 Risk appetite set at the appropriate level 71 7.2.2 Liquidity risk
statement - tolerance limit approach 73 7.2.3 Liquidity risk statement -
survival time period or scenario-based approach 75 7.3 The liquidity
reserve 76 7.3.1 A liquidity reserve or a liquidity buffer? 78 7.3.2 How to
review the risk appetite? 78 8 Step III: Governance and High-Level Policy
81 8.1 The role of the board of directors 82 8.2 The role of senior
management 83 8.2.1 First down then up again 84 8.3 High-level liquidity
policies and strategies 84 8.3.1 Additional material 85 8.4 Liquidity
policy 85 8.5 Funding strategy 88 8.5.1 Examination of the business
strategy/plan requirements 88 8.5.2 Assessment of funding sources and their
attractiveness 90 8.5.3 Medium and longer term funding plans 91 8.6 Funds
transfer pricing 95 8.6.1 Funds transfer pricing in a nutshell 96 8.6.2 The
FTP principles and objectives 97 8.6.3 Construction of an FTP model 98
8.6.4 The FTP method in two steps 99 8.6.5 The pooled (average) cost method
103 8.6.6 The matched funding method 104 8.6.7 Funds transfer pricing in
application 105 9 Step IV: The Quantitative Framework 111 9.1 Different
ways to measure liquidity 111 9.1.1 Balance sheet analysis 112 9.1.2 Cash
flow analysis 115 10 Step V: Stress Testing and the Contingency Funding
Plan 123 10.1 Stress testing - the heart of the liquidity framework 123
10.1.1 How banks perform their stress tests 124 10.1.2 Where stress tests
failed during the financial crises 124 10.1.3 The principles of stress
testing 125 10.1.4 Stress testing within the '6 Step Framework' 126 10.1.5
Picking the model 126 10.1.6 The limitation of VaR for liquidity risk
stress testing 127 10.1.7 The deterministic 'what if' approach 127 10.1.8
Setting of the deterministic scenario 128 10.1.9 Choice of severity 129
10.1.10 Choice of time horizon 132 10.1.11 Scenario stress testing, step by
step 133 10.1.12 Define the scenarios 134 10.1.13 Playing out the scenario
135 10.1.14 Analysing the outcome 141 10.2 Final note on scenario stress
testing 145 10.2.1 Reverse stress testing 146 10.3 Contingency funding plan
(CFP) - the SPADE of the liquidity framework 146 10.3.1 The regulatory
requirement 148 10.3.2 Why banks need a CFP 148 10.3.3 The CFP process 149
10.3.4 Spotting the risk - triggers and early warning indicators 150 10.3.5
Assessing the risk and alert level - the boy who cried wolf 153 10.3.6
Decisions and action plans 155 10.3.7 Execution 160 11 Step VI: Reporting
and Management Information 169 11.1 Internal controls and internal audit
processes 171 12 Basel III: The New Global Framework 173 12.1 Basel III -
beyond the buzzwords 173 12.1.1 The basel committee on banking supervision
(BCBS) 173 12.1.2 Short summary of the regulatory framework leading up to
basel III 173 12.1.3 Basel III 174 12.1.4 Capital requirements directive
(CRD) and the single rulebook 176 12.2 The basel III liquidity ratios 177
12.3 The liquidity coverage ratio (LCR) 178 12.3.1 Challenges the LCR Will
Bring to the liquidity framework 180 12.3.2 The basel III definitions and
stress assumptions 181 12.3.3 LCR common disclosure template 183 12.4 The
net stable funding ratio (NSFR) 185 Bibliography 187 Index