Liquidity management : a funding risk handbook /

Mostrar otras versiones (1)

"Robust management of liquidity risk within the changing regulatory frameworkLiquidity Management applies current risk management theory, techniques, and processes to liquidity risk control and management to help organizations prepare in case of future economic crisis and changing regulatory fr...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Soprano, Aldo
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken : Wiley, 2015.
Temas:
Bank liquidity.
Risk management.
Banques > Liquidité.
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Finance.
Bank liquidity
Risk management
Cash Management
Finanzierungsregel
Bankbetriebslehre
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Machine generated contents note: 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 risk's framework
  • 1.2.2. Chief Risk Officer's 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
  • 2.1. 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
  • 3.1. 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 deposit stability
  • 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
  • 4.1. 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
  • 5.1. 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
  • 6.1. Funding Liquidity
  • 6.2. Profitability Impact of Larger Counterbalancing Asset Stocks
  • 6.3. Pricing and Liquidity
  • 6.4. Lessons Learnt.

Ejemplares similares