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Liquidity Risk Management: A Practitioner's Perspective


Practical insights into liquidity risk management—now and into the future

Liquidity Risk Management is a practitioner's guide to exploring the key aspects of liquidity risk management, including governance, regulatory developments, analytical frameworks, reporting, data and infrastructure, and strategic implications.

Culled from the extensive experiences of PricewaterhouseCoopers's client delivery teams, this in-depth guide features an informative and diverse collection of real world knowledge and firsthand perspectives on the evolution of liquidity risk management practices and the direction of their future-state designs. This compendium on liquidity risk management provides insights that can help firms leverage their liquidity risk management capabilities and enhance competitive positioning with:

  • A deep understanding of the impact regulation has on liquidity risk management and the importance of maintaining an internal management-driven agenda fueled by a continual enhancement of the firm's capabilities
  • An integrated framework for managing liquidity risk that considers linkages with other risk types as well as core business drivers such as strategic planning, incentives, and profitability measurement
  • Industry-proven insights into building an infrastructure to efficiently automate the capture, storage, and transformation of data to enhance management decision-making

SHYAM VENKAT is a PwC principal in the firm's Financial Services Advisory practice in the U.S. He specializes in treasury and risk management for both financial services and non-financial services clients. He is a founding member of PwC's risk practice.

STEPHEN BAIRD is a PwC director in the firm's Financial Services Advisory practice. He specializes in treasury and risk management for financial institutions.

CHAPTER 1 Introduction 1
Shyam Venkat and Stephen Baird

PART ONE Measuring and Managing Liquidity Risk

CHAPTER 2 A New Era of Liquidity Risk Management 7
Shyam Venkat

CHAPTER 3 Liquidity Stress Testing 27
Stephen Baird

CHAPTER 4 Intraday Liquidity Risk Management 55
Barry Barretta and Stephen Baird

CHAPTER 5 The Convergence of Collateral and Liquidity 81
Thomas Ciulla, Bala Annadorai, and Gaurav Joshi

CHAPTER 6 Early Warning Indicators 105
Bruce Choy and Girish Adake

CHAPTER 7 Contingency Funding Planning 121
Chi Lai and Richard Tuosto

CHAPTER 8 Liquidity Risk Management Information Systems 141
Saroj Das, Shyam Venkat, and Chi Lai

CHAPTER 9 Recovery and Resolution Planning--Liquidity 183
Pranjal Shukla

PART TWO The Regulatory Environment of Liquidity Risk Supervision

CHAPTER 10 Supervisory Perspectives on Liquidity Risk Management 201
Kevin Clarke

CHAPTER 11 LCR, NSFR, and Their Challenges 213
Claire Rieger and John Elliott

PART THREE Optimizing Business Practices

CHAPTER 12 Strategic and Tactical Implications of the New Requirements 239
Hortense Huez

CHAPTER 13 Funds Transfer Pricing and the Basel III Framework 251
Stephen Baird, Bruce Choy, and Daniel Delean

CHAPTER 14 Liquidity and Funding Disclosures 263
Alejandro Johnston

Biographies 277

Index 279