Measuring and managing liquidity risk /

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Castagna, Antonio (Autor), Fede, Francesco (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Chichester, West Sussex, United Kingdom : John Wiley & Sons Ltd., 2013.
Colección:Wiley finance series.
Temas:
Liquidity (Economics)
Bank liquidity.
Financial risk.
Risk management.
Risk Management
Liquidité (Économie politique)
Banques > Liquidité.
Risque financier.
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Finance.
Bank liquidity
Financial risk
Risk management
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • 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?

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