Measuring and managing liquidity risk / Antonio Castagna and Francesco Fede.
2013
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Details
Author
Title
Measuring and managing liquidity risk / Antonio Castagna and Francesco Fede.
Added Author
Imprint
Chichester, West Sussex, United Kingdom : John Wiley & Sons Ltd., 2013.
Copyright
©2013
Description
1 online resource.
Series
Wiley finance series.
Formatted Contents Note
PART I LIQUIDITY AND BANKING ACTIVITY. Banks as lemons?
A journey into liquidity
Too big to fail
The new framework
Know thyself!
PART II TOOLS TO MANAGE LIQUIDITY RISK. Monitoring liquidity
Liquidity buffer and term structure of funding
Models for market risk factors
Behavioural models
PART III PRICING LIQUIDITY RISK. The links between credit risk and funding cost
Cost of liquidity and fund transfer pricing
Liquidity risk and the cost of funding in derivative contracts
A sort of conclusion: towards a new treasury?
A journey into liquidity
Too big to fail
The new framework
Know thyself!
PART II TOOLS TO MANAGE LIQUIDITY RISK. Monitoring liquidity
Liquidity buffer and term structure of funding
Models for market risk factors
Behavioural models
PART III PRICING LIQUIDITY RISK. The links between credit risk and funding cost
Cost of liquidity and fund transfer pricing
Liquidity risk and the cost of funding in derivative contracts
A sort of conclusion: towards a new treasury?
Summary
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 highly practical cut, 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.
Bibliography, etc. Note
Includes bibliographical references and index.
Source of Description
Online resource (Wiley, Bloomberg Law, viewed March 12, 2018).
Location
WWW
Available in Other Form
Print version: Castagna, Antonio. Measuring and managing liquidity risk. Chichester, West Sussex : John Wiley & Sons Ltd, 2013
Linked Resources
Alternate Title
BNA Premier package.
Language
English
ISBN
9781118652251 (electronic book)
1118652258 (electronic book)
9781118818466 (electronic book)
1118818466 (electronic book)
1119990246 (hardback)
9781119990246 (hardback)
1299738524
9781299738522
1118652258 (electronic book)
9781118818466 (electronic book)
1118818466 (electronic book)
1119990246 (hardback)
9781119990246 (hardback)
1299738524
9781299738522
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