Liquidity Risk Management: A Practitioners Perspective

Practical insights into liquidity risk management now and into the future

Liquidity Risk Management is a practitioner′s guide to exploring the key aspects of liquidity risk management, including governance, regulatory developments, analytical frameworks, reporting, data and infrastructure, and strategic implications.

Culled from the extensive experiences of PricewaterhouseCoopers′s client delivery teams, this in–depth guide features an informative and diverse collection of real world knowledge and firsthand perspectives on the evolution of liquidity risk management practices and the direction of their future–state designs. This compendium on liquidity risk management provides insights that can help firms leverage their liquidity risk management capabilities and enhance competitive positioning with:

A deep understanding of the impact regulation has on liquidity risk management and the importance of maintaining an internal management–driven agenda fueled by a continual enhancement of the firm′s capabilities An integrated framework for managing liquidity risk that considers linkages with other risk types as well as core business drivers such as strategic planning, incentives, and profitability measurement Industry–proven insights into building an infrastructure to efficiently automate the capture, storage, and transformation of data to enhance management decision–making

Chapter 1: Introduction
Shyam Venkat and Stephen Baird

Part I: Measuring and Managing Liquidity Risk

Chapter 2: A New Era of Liquidity Risk Management
Shyam Venkat

Chapter 3: Liquidity Stress Testing
Stephen Baird

Chapter 4: Intraday Liquidity Risk Management
Barry Barretta

Chapter 5: The Convergence of Collateral and Liquidity
Thomas Ciulla, Bala Annadorai, and Gaurav Joshi

Chapter 6: Early Warning Indicators
Bruce Choy and Girish Adake

Chapter 7: Contingency Funding Planning
Chi Lai and Richard Tuosto

Chapter 8: Liquidity Risk Management Information Systems
Saroj Das

Chapter 9: Recovery and Resolution Planning Liquidity
Pranjal Shukla

Part II: The Regulatory Environment of Liquidity Risk Supervision

Chapter 10: Supervisory Perspectives on Liquidity Risk Management
Kevin Clarke

Chapter 11: LCR, NSFR, and Their Challenges
Claire Rieger and John Elliott

Part III: Optimizing Business Practices

Chapter 12: Strategic and Tactical Implications of the New Requirements
Hortense Huez

Chapter 13: Funds Transfer Pricing and the Basel III Framework
Stephen Baird, Bruce Choy, and Daniel Delean

Chapter 14: Liquidity and Funding Disclosures
Alejandro Johnston

Author Bios

Index

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.