Measuring and managing liquidity risk / (Record no. 12916)
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| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20171224114359.0 |
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| fixed length control field | 130720s2013 enk ob 001 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | EBLCP |
| Language of cataloging | eng |
| Description conventions | pn |
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| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118652251 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118652258 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118818466 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118818466 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1299738524 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781299738522 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1119990246 |
| Qualifying information | (hardback) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781119990246 |
| Qualifying information | (hardback) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9781119990246 |
| Qualifying information | (hardback) |
| 029 1# - (OCLC) | |
| OCLC library identifier | AU@ |
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| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)853363001 |
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| -- | (OCoLC)961649858 |
| -- | (OCoLC)962642960 |
| -- | (OCoLC)966261439 |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | CL0500000375 |
| Source of stock number/acquisition | Safari Books Online |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG178 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS |
| Subject category code subdivision | 027000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332 |
| Edition number | 23 |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | MAIN |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Castagna, Antonio. |
| 245 10 - TITLE STATEMENT | |
| Title | Measuring and managing liquidity risk / |
| Statement of responsibility, etc | Antonio Castagna and Francesco Fede. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Chichester, West Sussex, U.K. : |
| Name of publisher, distributor, etc | Wiley, |
| Date of publication, distribution, etc | 2013. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (xxii, 577 pages). |
| 336 ## - | |
| -- | text |
| -- | txt |
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| 338 ## - | |
| -- | online resource |
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| 490 1# - SERIES STATEMENT | |
| Series statement | The Wiley finance series |
| 588 0# - | |
| -- | Online resource; title from PDF title page (Wiley, viewed September 12, 2013). |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Measuring and Managing Liquidity Risk; Contents; Preface; About the authors; Abbreviations and acronyms; PART I LIQUIDITY AND BANKING ACTIVITY; 1 Banks as lemons?; 1.1 Introduction; 1.2 The first wave; 1.3 Banks as lemons?; 1.4 The response; 1.5 The second wave; 1.6 Conclusion; 2 A journey into liquidity; 2.1 Introduction; 2.2 Central bank liquidity; 2.3 Funding liquidity; 2.4 Market liquidity; 2.5 The virtuous circle; 2.6 The vicious circle; 2.8 The role of the central bank, supervision and regulation; 2.9 Conclusions; 3 Too big to fail; 3.1 Introduction; 3.2 When giants fall. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 3.3 A hard lesson3.4 Closer supervision; 3.5 G-SIFI regulations; 3.6 The next steps; 3.7 Conclusion; 4 The new framework; 4.1 Introduction; 4.2 Some basic liquidity risk measures; 4.3 The first mover; 4.4 Basel III: The new framework for liquidity risk measurement and monitoring; 4.4.1 The liquidity coverage ratio; 4.5 Inside the liquidity coverage ratio; 4.6 The other metrics; 4.7 Intraday liquidity risk; 4.8 Beyond the ratios; 4.9 Conclusion; 5 Know thyself!; 5.1 Introduction; 5.2 Some changes on the liabilities side; 5.3 The role of leverage; 5.4 The originate-to-distribute business model. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 5.5 The liquidity framework5.6 Stress-testing and contingency funding plan; 5.7 The CEBS identity card; 5.8 Conclusions; 5.9 Appendix: The CEBS Identity Card Annex (CEBS); PART II TOOLS TO MANAGE LIQUIDITY RISK; 6 Monitoring liquidity; 6.1 A taxonomy of cash flows; 6.2 Liquidity options; 6.3 Liquidity risk; 6.4 Quantitative liquidity risk measures; 6.4.1 The term structure of expected cash flows and the term structure of expected cumulated cash flows; 6.4.2 Liquidity generation capacity; 6.4.3 The term structure of available assets; 6.5 The term structure of expected liquidity. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 6.6 Cash flows at risk and the term structure of liquidity at risk7 Liquidity buffer and term structure of funding; 7.1 Introduction; 7.2 Liquidity buffer and counterbalancing capacity; 7.3 The first cause of the need for a liquidity buffer: Maturity mismatch; 7.3.1 Some or all stressed scenarios do not occur; 7.3.2 The cost of the liquidity buffer for maturity mismatch; 7.3.3 Liquidity buffer costs when stressed scenarios do not occur; 7.3.4 A more general formula for liquidity buffer costs; 7.4 Funding assets with several liabilities; 7.5 Actual scenarios severer than predicted. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 7.6 The term structure of available funding and the liquidity buffer7.6.1 The term structure of forward cumulated funding and how to use it; 7.7 Non-maturing liabilities; 7.7.1 Pricing of NML and cost of the liquidity buffer; 7.8 The second cause of the liquidity buffer: Collateral margining; 7.8.1 A method to set the liquidity buffer for derivative collateral; 7.8.2 The cost of the liquidity buffer for derivative collateral; 7.9 The third cause of the liquidity buffer: Off-balance-sheet commitments; 7.10 Basel III regulation and liquidity buffer; 8 Models for market risk factors. |
| 500 ## - GENERAL NOTE | |
| General note | 8.1 Introduction. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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 l. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc | Includes bibliographical references and index. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Liquidity (Economics) |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Financial risk. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | BUSINESS & ECONOMICS |
| General subdivision | Finance. |
| Source of heading or term | bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Financial risk. |
| Source of heading or term | fast |
| -- | (OCoLC)fst01739663 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Liquidity (Economics) |
| Source of heading or term | fast |
| -- | (OCoLC)fst00999682 |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 655 #7 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| Source of term | local |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Fede, Francesco. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print version: |
| Main entry heading | Antonio Castagna. |
| Title | Measuring and managing liquidity risk. |
| Place, publisher, and date of publication | Chichester, West Sussex, U.K. : Wiley, 2013 |
| International Standard Book Number | 1119990246 |
| Record control number | (OCoLC)849498280 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Wiley finance series. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://onlinelibrary.wiley.com/book/10.1002/9781118818466">http://onlinelibrary.wiley.com/book/10.1002/9781118818466</a> |
| Public note | Wiley Online Library |
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