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Measuring and managing liquidity risk / Antonio Castagna and Francesco Fede

Author
Castagna, Antonio
Published
Chichester, West Sussex, United Kingdom : John Wiley & Sons Ltd., 2013.
Copyright Date
©2013
Physical Description
1 online resource (xxii, 577 pages).
Additional Creators
Fede, Francesco
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Series
Contents
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?
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.
Subject(s)
Genre(s)
ISBN
9781118652251 (electronic bk.)
1118652258 (electronic bk.)
9781118818466 (electronic bk.)
1118818466 (electronic bk.)
1299738524
9781299738522
1119990246 (hardback)
9781119990246 (hardback)
9781119990666 (ebk)
9781119990673 (ebk)
111999067X
1119990661
9781119990666
Digital File Characteristics
text file
Bibliography Note
Includes bibliographical references and index.
View MARC record | catkey: 37429708