10. Modeling Non-maturing Products

  1. Leonard Matz and
  2. Peter Neu
  1. Martin M. Bardenhewer

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390399.ch10

Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

How to Cite

Bardenhewer, M. M. (2006) Modeling Non-maturing Products, in Liquidity Risk Measurement and Management: A practitioner's guide to global best practices (eds L. Matz and P. Neu), John Wiley & Sons (Asia) Pte Ltd, 2 Clementi Loop, #02-01, Singapore 129809. doi: 10.1002/9781118390399.ch10

Publication History

  1. Published Online: 20 MAR 2012
  2. Published Print: 27 OCT 2006

ISBN Information

Print ISBN: 9780470821824

Online ISBN: 9781118390399

SEARCH

Keywords:

  • liquidity risk management;
  • non-maturing product;
  • option-adjusted spread;
  • replicating portfolio approach;
  • ordinary least square approach

Summary

This chapter contains sections titled:

  • Non-Maturing Products

  • Model Overview

  • Replicating Portfolio Models

  • Option-Adjusted Spread Models

  • Model Assessment

  • Implications for Liquidity Management

  • Conclusion

  • Notes