7. Market Developments in Banks' Funding Markets

  1. Leonard Matz and
  2. Peter Neu
  1. Peter Neu,
  2. Armin Leistenschneider,
  3. Bernhard Wondrak and
  4. Martin Knippschild

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390399.ch7

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

Neu, P., Leistenschneider, A., Wondrak, B. and Knippschild, M. (2006) Market Developments in Banks' Funding Markets, 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.ch7

Publication History

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

ISBN Information

Print ISBN: 9780470821824

Online ISBN: 9781118390399

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Keywords:

  • contingency liquidity risk;
  • liquidity costs;
  • liquidity transfer price system;
  • market liquidity costs;
  • tranching approach

Summary

This chapter contains sections titled:

  • The Impact of Market Developments in the Funding Market on Bank Liquidity Risk

  • Understanding Liquidity Costs is a Management Imperative

  • Developing Best Practices

  • A Framework for Measuring Liquidity Mismatch Costs

  • A Framework for Measuring Contingency Liquidity Risk Costs

  • Frameworks for Measuring the Cost of Market Liquidity

  • A Case Study: Technical Description of the Fund Transfer Pricing Process

  • Conclusion

  • Notes