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Measuring and managing liquidity risk / Antonio Castagna and Francesco Fede.

By: Castagna, Antonio.
Contributor(s): Fede, Francesco.
Material type: materialTypeLabelBookSeries: Wiley finance series: Publisher: Chichester, West Sussex, U.K. : Wiley, 2013Description: 1 online resource (xxii, 577 pages).Content type: text Media type: computer Carrier type: online resourceISBN: 9781118652251; 1118652258; 9781118818466; 1118818466; 1299738524; 9781299738522; 1119990246; 9781119990246.Subject(s): Liquidity (Economics) | Financial risk | BUSINESS & ECONOMICS -- Finance | Financial risk | Liquidity (Economics)Genre/Form: Electronic books. | Electronic books.Additional physical formats: Print version:: Measuring and managing liquidity risk.DDC classification: 332 Online resources: Wiley Online Library
Contents:
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.
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.
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.
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.
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.
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 l.
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Online resource; title from PDF title page (Wiley, viewed September 12, 2013).

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.

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.

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.

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.

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.

8.1 Introduction.

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.

Includes bibliographical references and index.

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