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 1Shyam Venkat and Stephen BairdPart One Measuring and Managing Liquidity RiskChapter 2 A New Era of Liquidity Risk Management 7Shyam VenkatChapter 3 Liquidity Stress Testing 27Stephen BairdChapter 4 Intraday Liquidity Risk Management 55Barry Barretta and Stephen BairdChapter 5 The Convergence of Collateral and Liquidity 81Thomas Ciulla, Bala Annadorai, and Gaurav JoshiChapter 6 Early Warning Indicators 105Bruce Choy and Girish AdakeChapter 7 Contingency Funding Planning 121Chi Lai and Richard TuostoChapter 8 Liquidity Risk Management Information Systems 141Saroj Das, Shyam Venkat, and Chi LaiChapter 9 Recovery and Resolution Planning—Liquidity 183Pranjal Shukla and Daniel ShanksPart Two The Regulatory Environment of Liquidity Risk SupervisionChapter 10 Supervisory Perspectives on Liquidity Risk Management 201Kevin ClarkeChapter 11 LCR, NSFR, and Their Challenges 213Claire Rieger and John ElliottPart Three Optimizing Business PracticesChapter 12 Strategic and Tactical Implications of the New Requirements 239Hortense HuezChapter 13 Funds Transfer Pricing and the Basel III Framework 251Stephen Baird, Bruce Choy, and Daniel DeleanChapter 14 Liquidity and Funding Disclosures 263Alejandro JohnstonBiographies 277Index 279

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 1Shyam Venkat and Stephen BairdPart One Measuring and Managing Liquidity RiskChapter 2 A New Era of Liquidity Risk Management 7Shyam VenkatChapter 3 Liquidity Stress Testing 27Stephen BairdChapter 4 Intraday Liquidity Risk Management 55Barry Barretta and Stephen BairdChapter 5 The Convergence of Collateral and Liquidity 81Thomas Ciulla, Bala Annadorai, and Gaurav JoshiChapter 6 Early Warning Indicators 105Bruce Choy and Girish AdakeChapter 7 Contingency Funding Planning 121Chi Lai and Richard TuostoChapter 8 Liquidity Risk Management Information Systems 141Saroj Das, Shyam Venkat, and Chi LaiChapter 9 Recovery and Resolution Planning—Liquidity 183Pranjal Shukla and Daniel ShanksPart Two The Regulatory Environment of Liquidity Risk SupervisionChapter 10 Supervisory Perspectives on Liquidity Risk Management 201Kevin ClarkeChapter 11 LCR, NSFR, and Their Challenges 213Claire Rieger and John ElliottPart Three Optimizing Business PracticesChapter 12 Strategic and Tactical Implications of the New Requirements 239Hortense HuezChapter 13 Funds Transfer Pricing and the Basel III Framework 251Stephen Baird, Bruce Choy, and Daniel DeleanChapter 14 Liquidity and Funding Disclosures 263Alejandro JohnstonBiographies 277Index 279

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 1Shyam Venkat and Stephen BairdPart One Measuring and Managing Liquidity RiskChapter 2 A New Era of Liquidity Risk Management 7Shyam VenkatChapter 3 Liquidity Stress Testing 27Stephen BairdChapter 4 Intraday Liquidity Risk Management 55Barry Barretta and Stephen BairdChapter 5 The Convergence of Collateral and Liquidity 81Thomas Ciulla, Bala Annadorai, and Gaurav JoshiChapter 6 Early Warning Indicators 105Bruce Choy and Girish AdakeChapter 7 Contingency Funding Planning 121Chi Lai and Richard TuostoChapter 8 Liquidity Risk Management Information Systems 141Saroj Das, Shyam Venkat, and Chi LaiChapter 9 Recovery and Resolution Planning—Liquidity 183Pranjal Shukla and Daniel ShanksPart Two The Regulatory Environment of Liquidity Risk SupervisionChapter 10 Supervisory Perspectives on Liquidity Risk Management 201Kevin ClarkeChapter 11 LCR, NSFR, and Their Challenges 213Claire Rieger and John ElliottPart Three Optimizing Business PracticesChapter 12 Strategic and Tactical Implications of the New Requirements 239Hortense HuezChapter 13 Funds Transfer Pricing and the Basel III Framework 251Stephen Baird, Bruce Choy, and Daniel DeleanChapter 14 Liquidity and Funding Disclosures 263Alejandro JohnstonBiographies 277Index 279