1st Edition
by Antonio Castagna (Author), Francesco Fede (Author)
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, this book provides the ground-level knowledge, tools, and
techniques for effective liquidity risk management. Highly practical,
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.
