8. A Concept for Cash Flow and Funding Liquidity Risk

  1. Leonard Matz and
  2. Peter Neu
  1. Robert Fiedler

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390399.ch8

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

Fiedler, R. (2006) A Concept for Cash Flow and Funding Liquidity Risk, 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.ch8

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;
  • asset liability management;
  • liquidity risk management;
  • cash flow liquidity risk;
  • expected cash flows

Summary

This chapter contains sections titled:

  • Market Liquidity

  • Cash Flow Liquidity Risk

  • A Concept for Cash Flow and Funding Liquidity

  • Expected Cash Flows (ECF)

  • Forward Liquidity Exposure (FLE)

  • Liquidity at Risk (LaR)

  • Expected Cash Flow (Liquidity) at Risk (CFaR)

  • Value Liquidity at Risk (VLaR)

  • Counterbalancing Capacity (CBC)

  • Non-Secured Funding

  • Repo/Sale of Assets

  • Internal Limit Setting

  • Maximum Cash Outflow

  • Adjusted Maximum Cash Outflow

  • Liquidity Risk Measurement: Practical Implementation of a Consistent Methodology

  • The Cash Flow Types and Their Underlying Deals

  • From Unadjusted to Adjusted Limiting

  • Notes