Measuring and managing liquidity risk /
This is a fully up-to-date, cutting edge guide to the measurement and management of liquidity risk. Written for front and middle office risk management and quantitative practitioners, it provides the ground-level knowledge, tools and techniques for effective liquidity risk management. Written with a...
Κύριος συγγραφέας: | |
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Άλλοι συγγραφείς: | |
Μορφή: | Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Chichester, West Sussex, U.K. :
Wiley,
2013.
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Σειρά: | Wiley finance series.
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Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- Measuring and Managing Liquidity Risk; Contents; Preface; About the authors; Abbreviations and acronyms; PART I LIQUIDITY AND BANKING ACTIVITY; 1 Banks as lemons?; 1.1 Introduction; 1.2 The first wave; 1.3 Banks as lemons?; 1.4 The response; 1.5 The second wave; 1.6 Conclusion; 2 A journey into liquidity; 2.1 Introduction; 2.2 Central bank liquidity; 2.3 Funding liquidity; 2.4 Market liquidity; 2.5 The virtuous circle; 2.6 The vicious circle; 2.8 The role of the central bank, supervision and regulation; 2.9 Conclusions; 3 Too big to fail; 3.1 Introduction; 3.2 When giants fall.
- 3.3 A hard lesson3.4 Closer supervision; 3.5 G-SIFI regulations; 3.6 The next steps; 3.7 Conclusion; 4 The new framework; 4.1 Introduction; 4.2 Some basic liquidity risk measures; 4.3 The first mover; 4.4 Basel III: The new framework for liquidity risk measurement and monitoring; 4.4.1 The liquidity coverage ratio; 4.5 Inside the liquidity coverage ratio; 4.6 The other metrics; 4.7 Intraday liquidity risk; 4.8 Beyond the ratios; 4.9 Conclusion; 5 Know thyself!; 5.1 Introduction; 5.2 Some changes on the liabilities side; 5.3 The role of leverage; 5.4 The originate-to-distribute business model.
- 5.5 The liquidity framework5.6 Stress-testing and contingency funding plan; 5.7 The CEBS identity card; 5.8 Conclusions; 5.9 Appendix: The CEBS Identity Card Annex (CEBS); PART II TOOLS TO MANAGE LIQUIDITY RISK; 6 Monitoring liquidity; 6.1 A taxonomy of cash flows; 6.2 Liquidity options; 6.3 Liquidity risk; 6.4 Quantitative liquidity risk measures; 6.4.1 The term structure of expected cash flows and the term structure of expected cumulated cash flows; 6.4.2 Liquidity generation capacity; 6.4.3 The term structure of available assets; 6.5 The term structure of expected liquidity.
- 6.6 Cash flows at risk and the term structure of liquidity at risk7 Liquidity buffer and term structure of funding; 7.1 Introduction; 7.2 Liquidity buffer and counterbalancing capacity; 7.3 The first cause of the need for a liquidity buffer: Maturity mismatch; 7.3.1 Some or all stressed scenarios do not occur; 7.3.2 The cost of the liquidity buffer for maturity mismatch; 7.3.3 Liquidity buffer costs when stressed scenarios do not occur; 7.3.4 A more general formula for liquidity buffer costs; 7.4 Funding assets with several liabilities; 7.5 Actual scenarios severer than predicted.
- 7.6 The term structure of available funding and the liquidity buffer7.6.1 The term structure of forward cumulated funding and how to use it; 7.7 Non-maturing liabilities; 7.7.1 Pricing of NML and cost of the liquidity buffer; 7.8 The second cause of the liquidity buffer: Collateral margining; 7.8.1 A method to set the liquidity buffer for derivative collateral; 7.8.2 The cost of the liquidity buffer for derivative collateral; 7.9 The third cause of the liquidity buffer: Off-balance-sheet commitments; 7.10 Basel III regulation and liquidity buffer; 8 Models for market risk factors.