Liquidity Risk Management and Supervision: A Guide to Better Practice

Managing liquidity risk continues to be a top risk management concern, with a renewed regulatory focus in the form of the Liquidity Coverage Ratio minimum standard, the continued implementation of the Basel Committee liquidity risk sound principles document, and the Capital Requirements Directive (CRD) IV.

This book is a practitioner’s guide to setting up liquidity risk assessment processes. Readers will learn how to set up efficient liquidity risk management frameworks within banks that meet new and existing supervisory expectations, and how to prove good quality risk management to the regulator.

Chapters cover:
•The LCR and NSFR and its shortcomings
•Liquidity and funding risk management strategy and tolerance
•Liquidity buffer and counterbalancing capacity
•Stress-testing
•Funding plans
•Intraday liquidity risk management