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Informationen zum Autor ALDO SOPRANO is Head of Group Price Control at Unicredit and prior to that was in charge of Short Term Liquidity Risks and Operational Risk Management. He worked at Barclays Capital in London, served on the board of Pioneer Alternative Investments and Chaired the IIF working group on operational risks and is Board member of UniCredit Bank Ireland. He is the author of articles on risk management and presents at international conferences. Klappentext How to apply critical risk management techniques to liquidity risk controlThis groundbreaking book shows how to apply current theory on critical risk management techniques and processes for liquidity risk control and measurement resulting from the economic crisis and changing regulatory framework. It reviews refinancing risks for banks and shows the Basel 3 coverage ratio and long-term stable funding ratio methodologies, reviewing its components, counterbalancing capacity structure. It also includes a dedicated chapter focused on stress testing both from a regulatory and empirical standpoint, showing how different forms of financing behave differently in changing markets conditions.The author also includes information on alternatives funding sources and analysis of their resilience during market crises based on practical experience. Comparison of market liquidity and warning signals will also be included, where anticipatory indicators are effectively detecting further deterioration.* Describes the recent impact of sovereign crisis on banks liquidity processes and approaches the future developments of regulations* Based in extensive research, the book has insight on direct experience and reveals the challenges and critical issues concerning liquidity risk* Author Aldo Soprano is an expert on operational riskLiquidity Risk in the Financial Crisis covers the recent crisis and new regulatory framework's impact on liquidity risk management, spanning techniques, processes, and banks strategies. Zusammenfassung Robust management of liquidity risk within the changing regulatory framework Liquidity 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 framework. Inhaltsverzeichnis Acknowledgements xi Introductory Note xiii Chapter 1 Funding and Market Liquidity 1 1.1 Liquidity in the Financial Markets 1 1.1.1 Definition of funding and liquidity risks 4 1.2 Managing Liquidity Risk 9 1.2.1 Liquidity risk's framework 9 1.2.2 Chief Risk Officer's role 15 1.3 Regulatory Frameworks 15 1.3.1 Total net cash outflows 21 1.3.2 Long-term funding requirements 22 1.3.3 Banks' funding 23 1.3.4 Funding through securitization 26 1.3.5 Behavioural changes of customers or investors 28 1.3.6 Payment systems 29 1.3.7 Correspondent and custody activities 30 1.3.8 Accounting treatment and liquidity 31 1.3.9 Diversification of funding sources 31 1.3.10 Rating agency approaches to internal methodologies 32 1.3.11 Transparency to the market 32 1.3.12 Contingency plans 33 Chapter 2 Short-Term Funding 37 2.1 Cash Flow Ladder 37 2.1.1 Contractual cash flows 40 2.1.2 Rules for mapping flows on the maturity ladder 42 2.1.3 Flows without contractual certainty 42 2.1.4 Unexpected cash flows 43 2.1.5 Funds available for refinancing 44 2.1.6 Funds transferability 44 2.1.7 Total ladder calculation 44 2.2 Liquidity Coverage Ratio 45 2.2.1 Regulatory prescriptions 45 2.2.2 Liquid assets available for refinancing 46 2.2.3 Total net cash outflows in the upcoming month 51 2.3 Liquidity Risk Indicators 58 2.3.1 Using indicators 59 2.3...
