By Shyam Venkat, Stephen Baird
The latest, entire consultant on liquidity hazard management—from the professionals
Written by means of a crew of leaders from the cost Waterhouse Coopers monetary prone Regulatory perform, Liquidity possibility Management is the 1st e-book of its variety to tug again the curtain on an international method of liquidity chance administration within the post-financial drawback. Now, as a couple of regulatory tasks emerge, this well timed and informative publication explores the real-world implications of chance administration practices in modern day market.
Taking a transparent and concentrated method of the operational and fiscal tasks of liquidity danger administration, the ebook builds upon a foundational wisdom of banking and capital markets and explores in-depth the foremost elements of the topic, together with governance, regulatory advancements, analytical frameworks, reporting, strategic implications, and extra. The publication additionally addresses administration practices which are quite insightful to liquidity chance administration practitioners and bosses in different parts of banking organizations.
- Each bankruptcy is authored by means of a cost Waterhouse Coopers associate or director who has major, hands-on expertise
- Content addresses key parts of the topic, akin to liquidity pressure trying out and knowledge reporting
- Several chapters are dedicated to Basel III and its implications for financial institution liquidity hazard administration and company strategy
- Includes a committed, present, and all-inclusive examine liquidity hazard management
Complemented with hands-on perception from the field's major gurus at the topic, Liquidity danger Management is key examining for practitioners and executives inside of banking organisations trying to find the most up-tp-date info on liquidity threat management.
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Extra info for Liquidity Risk Management: A Practitioner’s Perspective
There are two general types of liquidity stress scenarios—historical scenarios and forward-looking (hypothetical) scenarios. Historical Scenarios Historical scenarios are based on actual liquidity failures and attempt to translate those events to the financial institution performing the stress test. The failures of WaMu and Northern Rock in 2008 are common reference events. The advantage of historical scenarios is that they are empirically based. The disadvantage of this approach is that few such failures have actually occurred; and for the ones that have taken place, very limited data are available.
Liquidity stress scenarios should exhibit the following characteristics: Distinguish between systemic and idiosyncratic risk. Some liquidity stress impacts are the result of systemic stress, such as a reduction in the market liquidity of securities, while other impacts are the result of bank-only stress, such as a deposit run. 3 for a detailed description of these impacts. Banks should develop at least one scenario for each of the cases of systemic, idiosyncratic, and combined idiosyncratic and systemic in order to capture these varying impacts.
Planning Horizon The objective of the liquidity stress test is to ensure that the institution can maintain adequate contingency funding through a period of prolonged stress. To meet this goal, the planning horizon of the liquidity stress test should be at least twelve months. The bank may choose to project cash flows beyond twelve months; however, longer-term projections may be subject to significant forecast error depending on the time horizon of the baseline balance sheet and income statement budgeting performed as part of the strategic planning process.
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