Liquidity Management

Liquidity Management
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Soprano Aldo. Liquidity Management

Acknowledgements

Introductory Note

CHAPTER 1. Funding and Market Liquidity

1.1 LIQUIDITY IN THE FINANCIAL MARKETS

1.2 MANAGING LIQUIDITY RISK

1.3 REGULATORY FRAMEWORKS

CHAPTER 2. Short-Term Funding

2.1 CASH FLOW LADDER

2.2 LIQUIDITY COVERAGE RATIO

2.3 LIQUIDITY RISK INDICATORS

2.4 INTRADAY LIQUIDITY RISK

2.5 FUNDING CONCENTRATION

2.6 MEASURING ASSET LIQUIDITY

CHAPTER 3. Long-Term Balance

3.1 STRUCTURAL FUNDING

3.2 CUSTOMER DEPOSIT MODELLING

3.3 STRESS TESTING AND SCENARIO ANALYSIS

CHAPTER 4. Liquidity Value At Risk

4.1 MARKET LIQUIDITY EFFECTS

4.2 MARKET LIQUIDITY VALUE AT RISK

4.3 Var Liquidation-Adjusted

4.4 CASH FLOWS AT RISK

CHAPTER 5. Control Framework

5.1 GOVERNANCE PRINCIPLES

5.2 CONTROL PROCESSES

5.3 MONITORING LIQUIDITY EXPOSURE

5.4 SETTING LIQUIDITY RISK LIMITS

5.5 CONTINGENCY LIQUIDITY PLAN

CHAPTER 6. Conclusions

6.1 FUNDING LIQUIDITY

6.2 PROFITABILITY IMPACT OF LARGER COUNTERBALANCING ASSET STOCKS

6.3 PRICING AND LIQUIDITY

6.4 LESSONS LEARNT

Bibliography

WILEY END USER LICENSE AGREEMENT

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In hoping this text is of interest and help in assessing and understanding liquidity risk, my first and greatest debt of gratitude goes to Werner Coetzee, Executive Commissioning Editor at Wiley, for suggesting and inspiring me to write it, but mostly for holding me to completing it when my first son's arrival kindly changed my private life and free time. A special mention is also owed to Carlo Magnani for his previous support and contribution. Lastly, I want to mention the many people over these difficult past years that have worked together with me on liquidity risk and deserve to be mentioned, without order or priority: Gianni Capezzuoli, Mario Prodi, Elena Conserva and Attilio Napoli.

The opinions and indications presented in this book are those of its author and do not represent that of UniCredit Group.

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Source: ECB.

Figure 1.3 EU gross liquidity shortfall. Each line represents a country.

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