Written for front and middle office risk management and quantitative practitioners, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, though thoroughly grounded in theory, the book begins with the basics of liquidity risks and, using examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book then goes on to look at tools which can be used to measure liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.
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eBook - ePub
Measuring and Managing Liquidity Risk
About this book
A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk
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Table of contents
- Cover
- Series
- Copyright
- Dedication
- Preface
- About the authors
- Abbreviations and acronyms
- PART I LIQUIDITY AND BANKING ACTIVITY
- Chapter:1 Banks as lemons?
- Chapter:2 A journey into liquidity
- Chapter:3 Too big to fail
- Chapter:4 The new framework
- Chapter:5 Know thyself!
- PART II TOOLS TO MANAGE LIQUIDITY RISK
- Chapter:6 Monitoring liquidity
- Chapter:7 Liquidity buffer and term structure of funding
- Chapter:8 Models for market risk factors
- Chapter:9 Behavioural models
- Part III Pricing liquidity risk
- Chapter:10 The links between funding credit risk and cost
- Chapter:11 Cost of liquidity and fund transfer pricing
- Chapter:12 Liquidity risk and the cost of funding in derivative contracts
- Chapter:13 A sort of conclusion: towards a new treasury?
- References
- Index
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Yes, you can access Measuring and Managing Liquidity Risk by Antonio Castagna,Francesco Fede in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over 1.5 million books available in our catalogue for you to explore.