Liquidity Risk Management and Supervision includes 14 chapters that discuss all major aspects of liquidity risk management and supervision. The book covers very specific topics, such as contingency funding plans, liquidity stress testing, intraday liquidity risk and funds transfer pricing but also gives guidance regarding how to set up the process around liquidity risk management and supervision. To this end, the book also discusses relevant macroprudential aspects of liquidity risk.
In response to the financial crisis, the Liquidity Coverage Ratio and Net Stable Funding Ratio have been introduced. While this was an important step for supervision, there is wide agreement that compliance with these minimum requirements is not sufficient to ensure sound liquidity risk management.
Recognising this, both the Single Supervisory Mechanism and the European Banking Authority are currently in the process of developing guidance to banks and regulators on how to ensure strong liquidity risk management frameworks. Since the in-depth and bank-specific supervision of liquidity risk is a very new topic, many banks and regulators will have to make major efforts to prepare for raised expectations and upcoming requirements.
|Publication date||23 Dec 2015|
|Size||155mm x 235mm|
Foreword - Stefan Ingves
1. Introduction - Clemens Bonner, Paul Hilbers and Iman van Lelyveld
2. Liquidity regulation, the recent crisis and the regulatory response - Clemens Bonner and Paul Hilbers
3. Sources of liquidity risk - Empirical evidence - Jon Pogach
4. The process of liquidity supervision - Patrick de Neef
5. How to implement ILAAP - Lessons learned at Rabobank - Agaath Nijboer
6. Liquidity risk management strategy and tolerance - Emrah Arbak
7. Liquidity buffer management and banks' counterbalancing capacity - Jill Cetina and Katherine Gleason
8. Bank-level liquidity stress testing - Clemens Bonner, Andreas Katteneder, and Iman van Lelyveld
9. Contingency funding plans - Diana Bonfim and Sandra Pinheiro
10. Liquidity Transfer Pricing - Joel Grant
11. Intraday Liquidity Risk Management - Alan Ball and Gamal Bemath
12. Putting liquidity risk management into a wider context - Jan Willem van den End, Iman van Lelyveld and Stefan Schmitz
13. Macroprudential liquidity stress tests - Stefan Schmitz
14. A Simple Macroprudential Liquidity Buffer - Daniel C. Hardy and Philipp Hochreiter