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Managing Liquidity in Banks:
A Top Down Approach
BY Rudolf Duttweiler
BUSINESS & MANAGEMENT / FINANCE & INVESTMENTS / INSTITUTIONAL & CORPORATE FINANCE /
"Liquidity risk is a topic growing immensely in importance in risk management. It has been much neglected by financial institutions and regulators in recent years and receives, in the course of the sub-prime crisis, sudden and great attention. This book is well-structured and provides a comprehensive and systematic approach to the topic. It will help risk controllers to systematically set up a liquidity risk framework in their bank."
¡ªPeter NEU, European Risk Team Leader, The Boston Consulting Group, and co author of Liquidity Risk Measurement and Management
"Mr Duttweiler's book is a welcome addition to the literature on liquidity risk measurement and management. In addition to his contributions to liquidity risk theory and liquidity pricing, the author provides a good overview of all of the critical elements."
¡ªLeonard Matz, International Solution Manager, Liquidity Risk and co-author of Liquidity Risk Measurement and Management
Liquidity Risk Management has gained importance over recent years and particularly in the last year, as major bank failures have led to a re-evaluation of the significance of liquidity in stressed market conditions. Liquidity risk is closely related to market risk and solvency, suggesting its significance in times of volatile and 'bear' markets, where a single bank's failure can have dramatic effects on market liquidity.
The term liquidity is not well-define, and a comprehensive understanding of its common elements is often missing within a banking organisation. In too many cases, liquidity risk management has not been developed with a coherent framework and generally accepted terms and methods, creating weaknesses in its structure and vulnerability to market risk. In this title, Duttweiler advances the study of quantitative liquidity risk management with the concept of the 'Liquidity Balance Sheet', which allocates portfolios into a specific structure, and consequently is able to account for potentially negative surprises so that the necessary buffers can be quantified.
The book begins with an overview of liquidity as part of financial policy and highlights the importance of liquidity as part of a general business concept and as protector and supporter of a business as a going concern. The author examines the role o liquidity in helping managers to achieve high-level liquidity aims to support operating units to achieve business goals. He looks at quantitative methods of assessing a banks liquidity levels, including LaR and VaR, to establish an integrated concept in which liquidity is incorporated into the framework of financial policies. He also presents methods, tools, scenarios and concepts to create a policy framework for liquidity and to support contingency planning.
Rudolf Duttweiler is an economist. He gained his Ph.D. from the University of St Gallen, Switzerland.
Liquidity has played an important part in his professional life. His first practical experience in banking was gained in Zurich and London as Treasurer of Swiss Bank corporation (now UBS) and Credit Suisse. From 1993 until 2006 he headed the Group Treasury of Commerzbank at their Headquarters in Frankfurt. This was the formative period during which his comprehensive understanding of liquidity policy and concepts to manage liquidity were developed. Throughout his professional life he has continued to publish and lecture on market and liquidity related subjects. His last publication in 2008 refers to liquidity as part of banking related financial policy, and laid the basis for the integration of liquidity into the framework of business policy for banking.
Mr Duttweiler is a lecturer on Bank Treasury Management at the University of St Gallen, Switzerland.
TABLE OF CONTENTS:
About the Author.
1 Liquidity and Risk: Some Basics.
1.1 Some understanding of liquidity.
1.2 The meaning of liquidity risk.
2 Liquidity in the Context of Business and Financial Policy.
2.2 Equilibrium as a tool within financial policy.
2.3 The concept enlarged to fit banks.
3 Liquidity as an Element of Banking Risk.
3.1 Some clarifications.
3.2 The concept of downside risk (VAR) and its circle of relationships.
3.3 LAR: liquidity risk and the missing theoretical concept.
3.4 An attempt at an integrated concept for LAR.
4 A Policy Framework for Liquidity.
4.1 Some thoughts and considerations.
4.2 An overview of elements regarding liquidity policy.
4.3 The elements of a liquidity policy in detail.
4.4 Contingency planning.
4.5 A technical framework supporting liquidity policy.
4.6 The link to liquidity management.
5 Conceptual Considerations on Liquidity Management.
5.2 From accounting presentation to defining the liquidity balance sheet.
5.3 The liquidity balance sheet and liquidity flows.
6 Quantitative Aspects of Liquidity Management.
6.1 General consideration.
6.2 Liquidity at risk as one determinant of the buffers.
6.3 Defining and quantifying the buffers.
6.4 Limit-related input for liquidity policy.
6.5 Transfer pricing and an alternative concept.
7 The Concept in Practice.
7.2 Establishing the base.
7.3 Case 1: a shock event (9/11).
7.4 Case 2: a name-related stress (Commerzbank in autumn 2002).
7.5 ¡®Subprime¡¯ crisis: a stress in progress.
7.6 Final remarks and considerations.
8 Acting Within the Supervisory Frame.
8.1 High-level risks.
8.2 The regulatory focus set by supervisors.
8.3 Considerations and conclusions for bank management.