Measuring and Managing Liquidity Risk

Measuring and Managing Liquidity Risk

Author(s): Antonio Castagna, Francesco Fede

Published Online: 29 AUG 2013 08:27AM EST

Print ISBN: 9781119990246

Online ISBN: 9781118818466

DOI: 10.1002/9781118818466

About this Book

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, 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.

Table of contents

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  1. Part I: Liquidity and Banking Activity

  2. Part II: Tools to Manage Liquidity Risk

  3. Part III: Pricing Liquidity Risk

    1. You have free access to this content
    1. You have free access to this content

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