The liquidity management guide : from policy to pitfalls / / Gudni Adalsteinsson

• Record Nr.: UNINA9910132202503321
• Autore: Adalsteinsson Gudni <1967->
• Pubbl/distr/stampa: West Sussex, England : , : John Wiley & Sons, , 2014; ©2014
• ISBN: 1-118-85803-4; 1-118-85802-6
• Descrizione fisica: 1 online resource (217 p.)
• Collana: Wiley Finance Series
• Disciplina: 332.1068/1
• Soggetti: Bank liquidity; Bank management; Risk management; Asset-liability management
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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; 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; 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; 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; 8.6.1 Funds transfer pricing in a nutshell
• Sommario/riassunto: 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.