Liquidity Risk Measurement and Management
Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices(Wiley Finance)

Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices(Wiley Finance)


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About the Book

"Liquidity risk is an equal part of the holy trinity of risks, the other two being market and credit risks. It is the least understood of the three and as a result, investors are missing out on an important dimension of risk, diversification and hedging. This valuable book fills the gaps on a much neglected subject and provides a refreshing perspective to it." Avinash D. Persaud President, Intelligence Capital Limited "Liquidity risk is rapidly moving up the agenda, both within financial institutions as well as in the supervisory community, and the timing of this book could not be better. This book is well–structured and comprehensive in its coverage. It is written by highly experienced and respected professionals and is an important source for anyone who wants to understand liquidity risk." Chris Matten Partner, Financial Services Industry Practice PricewaterhouseCoopers "Liquidity risk management is in many ways the poor relation of risks but the one that is suddenly receiving a great deal of attention from global regulators. This book certainly fills a long overdue gap with regard to published material and is required reading for liquidity risk practitioners" Richard Pattinson Senior Director, Barclays Treasury Barclays Bank PLC

Table of Contents:
Acknowledgments. About the Contributors. 1. Introduction (Peter Neu and Leonard Matz). PART 1. MEASURING AND MONITORING LIQUIDITY RISK. 2. Liquidity Risk Measurement (Peter Neu). 3. Scenario Analysis and Stress Testing (Leonard Matz). PART 2. MANAGING LIQUIDITY RISK. 4. Monitoring and Controlling Liquidity Risk (Leonard Matz). 5. Liquidity Risk Management Strategies and Tactics (Leonard Matz and Peter Neu). 6. Contingency Planning (Leonard Matz). 7. Market Developments in Banks’ Funding Markets (Peter Neu, Armin Leistenschneider, Bernhard Wondrak and Martin Knippschild). PART 3. CASE STUDIES AND ALTERNATIVE VIEWS. 8. A Concept for Cash Flow and Funding Liquidity Risk (Robert Fiedler). 9. The Liquidity Impact of Derivatives Collateral (Louis D. Raffis). 10. Modeling Non-maturing Products (Martin M. Bardenhewer). 11. The Net Cash Capital Tool in Bank Liquidity Management (Louis D. Raffis). 12. Managing a Funding Crisis: Citizens First Bancorp, a case Study 1989-1994 (Bruce W. Mason). 13. Liquidity Management at UBS (Bruce Mclean Forrest). 14. Sound Liquidity Management as an Investment Criterion (Dierk Brandenburg). PART 4. CUTTING EDGE. 15. Dynamic Mdoeling and Optimization of Non-maturing Accounts (Karl Frauendorfer and Micahel Schürle). 16. Liquidity Risk and Classical Option Pricing Theory (Robert A. Jarrow). PART 5. CONCLUSION. 17. View from the Mountaintop (Leonard Matz and Peter Neu). Index.

About the Author :
Leonard Matz is an author, consultant, and bank trainer.  He graduated from Case Western Reserve University in Cleveland, Ohio in 1973. After spending five years with the Federal Reserve as a bank examiner, he spent 14 years in various bank management positions.  Mr. Matz is the author of numerous books as well as magazine and journal articles.  His other books include Interest Rate Risk Management and the Self Paced Guide to Asset/Liability Management Training.  He is a frequent speaker and industry conferences and training programs and has been a member of the National Asset/Liability Management Association since 1989.  Peter Neu is an author, consultant and former banker living with his wife in Frankfurt, Germany. He graduated in 1994 with a PhD from the University of Heidelberg in Theoretical Physics. After completing a post-doctorate position at MIT, Cambridge M.A., Peter Neu joined Group Risk Control of Dresdner Bank AG in 1997. As a member of Group Strategic Risk & Treasury Control, he worked on various market and credit risk projects and was involved in building Dresdner’s economic capital model before taking over the responsibility for liquidity risk control. In 2005, Peter Neu joined the Boston Consulting Group as its European head of a risk expert team. He frequently speaks at industry conferences and training courses and has published articles on credit risk and operational risk measurement.


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Product Details
  • ISBN-13: 9780470821824
  • Publisher: John Wiley & Sons Inc
  • Publisher Imprint: John Wiley & Sons Inc
  • Height: 262 mm
  • No of Pages: 350
  • Spine Width: 35 mm
  • Weight: 1157 gr
  • ISBN-10: 0470821825
  • Publisher Date: 08 Dec 2006
  • Binding: Hardback
  • Language: English
  • Series Title: Wiley Finance
  • Sub Title: A Practitioner's Guide to Global Best Practices
  • Width: 185 mm


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Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices(Wiley Finance)
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