Liquidity Management : A Funding Risk Handbook.

Intro -- Liquidity Management -- Contents -- Acknowledgements -- Introductory Note -- 1 Funding and Market Liquidity -- 1.1 Liquidity in the Financial Markets -- 1.1.1 Definition of funding and liquidity risks -- 1.2 Managing Liquidity Risk -- 1.2.1 Liquidity risks framework -- 1.2.2 Chief Risk Officers role -- 1.3 Regulatory Frameworks -- 1.3.1 Total net cash outflows -- 1.3.2 Long-term funding requirements -- 1.3.3 Banks funding -- 1.3.4 Funding through securitization -- 1.3.5 Behavioural changes of customers or investors -- 1.3.6 Payment systems -- 1.3.7 Correspondent and custody activities -- 1.3.8 Accounting treatment and liquidity -- 1.3.9 Diversification of funding sources -- 1.3.10 Rating agency approaches to internal methodologies -- 1.3.11 Transparency to the market -- 1.3.12 Contingency plans -- 2 Short-Term Funding -- 2.1 Cash Flow Ladder -- 2.1.1 Contractual cash flows -- 2.1.2 Rules for mapping flows on the maturity ladder -- 2.1.3 Flows without contractual certainty -- 2.1.4 Unexpected cash flows -- 2.1.5 Funds available for refinancing -- 2.1.6 Funds transferability -- 2.1.7 Total ladder calculation -- 2.2 Liquidity Coverage Ratio -- 2.2.1 Regulatory prescriptions -- 2.2.2 Liquid assets available for refinancing -- 2.2.3 Total net cash outflows in the upcoming month -- 2.3 Liquidity Risk Indicators -- 2.3.1 Using indicators -- 2.3.2 Testing indicators -- 2.3.3 Government bond yield curves and cross-spreads -- 2.3.4 Credit default swap levels -- 2.3.5 Foreign exchange cross-values -- 2.3.6 Central bank refinancing -- 2.3.7 Crisis indicators -- 2.3.8 Risk aversion indexes -- 2.4 Intraday Liquidity Risk -- 2.4.1 Intraday liquidity management -- 2.4.2 Cooperative mechanism -- 2.4.3 Analysing the possible impact of the stressed scenario on intraday liquidity risk -- 2.4.4 Haircuts to pledges -- 2.4.5 Monitoring requirements.

2.4.6 Structural and intraday liquidity needs -- 2.4.7 Payment systems liquidity saving features -- 2.4.8 Intraday liquidity risk in the case of Lehman Brothers -- 2.4.9 Some intraday liquidity monitoring indicators -- 2.4.10 Intraday liquidity stress scenarios -- 2.5 Funding Concentration -- 2.5.1 Significant counterparties -- 2.5.2 Significant instruments/products -- 2.5.3 Significant currencies -- 2.5.4 Time buckets -- 2.6 Measuring Asset Liquidity -- 2.6.1 Standard liquidity ratio -- 2.6.2 Determining implied spread -- 3 Long-Term Balance -- 3.1 Structural Funding -- 3.1.1 Determining the available funding -- 3.1.2 Required stable funding for assets -- 3.2 Customer Deposit Modelling -- 3.2.1 Regulatory approaches on depositstability -- 3.2.2 Depositor behaviours -- 3.2.3 Modelling assumptions and impacts on funding costs -- 3.2.4 Dynamic regression models -- 3.3 Stress Testing and Scenario Analysis -- 3.3.1 Using stress testing to improve banks' own risk governance -- 3.3.2 Liquidity stress testing rationale -- 3.3.3 Improving controls -- 3.3.4 Stress testing methodology -- 3.3.5 Reverse stress testing -- 3.3.6 Scenario analysis -- 3.3.7 Internal capital and stress testing -- 4 Liquidity Value At Risk -- 4.1 Market Liquidity Effects -- 4.1.1 Market volatility -- 4.2 Market Liquidity Value At Risk -- 4.3 Var Liquidation-Adjusted -- 4.3.1 Exogenous and endogenous liquidity risk in the VaR model -- 4.3.2 Liquidity risk horizons -- 4.4 Cash Flows At Risk -- 5 Control Framework -- 5.1 Governance Principles -- 5.2 Control Processes -- 5.2.1 Functions in charge of liquidity risk management and control -- 5.2.2 Risk committees -- 5.2.3 Coordinating liquidity management -- 5.2.4 Liquidity risk monitoring function -- 5.2.5 Addressing documentation-related liquidity risks -- 5.3 Monitoring Liquidity Exposure -- 5.3.1 Available assets for refinancing.

5.3.2 Funding concentration -- 5.3.3 Liquidity coverage ratio and NSFR in the various currencies -- 5.3.4 Market-related monitoring tools -- 5.3.5 Overall market information -- 5.3.6 Information on the financial sector -- 5.3.7 Company-specific information -- 5.3.8 Recommendations on the monitoring process -- 5.3.9 Reporting frequency and distribution -- 5.4 Setting Liquidity Risk Limits -- 5.4.1 Limit setting and review -- 5.4.2 Reporting and escalation procedures -- 5.4.3 Internal rules on limit setting and management -- 5.5 Contingency Liquidity Plan -- 5.5.1 Outlining the contingency funding plans -- 5.5.2 Internal procedures for CFP -- 6 Conclusions -- 6.1 Funding Liquidity -- 6.2 Profitability Impact of Larger Counterbalancing Asset Stocks -- 6.3 Pricing and Liquidity -- 6.4 Lessons Learnt -- Bibliography -- Index -- EULA.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.