Measuring and managing liquidity risk / Antonio Castagna

Author : Castagna, Antonio
Rating :
Measuring and managing liquidity risk / Antonio Ca...

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, discussing risk monitoring and the different models used, notably financial variables models, credit variables models and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.The book is accompanied by web based tools including example spreadsheets to illustrate many of the more complex topics in the book

Publisher : Chichester : John Wiley
Publish Year : 2013
Page : 577 p
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