Buch, Englisch, 608 Seiten, Format (B × H): 175 mm x 250 mm, Gewicht: 1202 g
Reihe: Wiley Finance Series
Buch, Englisch, 608 Seiten, Format (B × H): 175 mm x 250 mm, Gewicht: 1202 g
Reihe: Wiley Finance Series
ISBN: 978-1-119-99024-6
Verlag: Wiley
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.
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Wirtschaftswissenschaften Literatur für Manager
- Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
- Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
- Wirtschaftswissenschaften Betriebswirtschaft Bereichsspezifisches Management Kostenmanagement, Budgetierung
Weitere Infos & Material
Preface xiii
About the authors xvii
Abbreviations and acronyms xix
Part I Liquidity and Banking Activity 1
1 Banks as lemons? 3
1.1 Introduction 3
1.2 The first wave 4
1.3 Banks as lemons? 7
1.4 The response 9
1.5 The second wave 13
1.6 Conclusion 15
2 A journey into liquidity 17
2.1 Introduction 17
2.2 Central bank liquidity 18
2.3 Funding liquidity 19
2.4 Market liquidity 22
2.5 The virtuous circle 24
2.6 The vicious circle 24
2.8 The role of the central bank, supervision and regulation 28
2.9 Conclusions 31
3 Too big to fail 33
3.1 Introduction 33
3.2 When giants fall 34
3.3 A hard lesson 36
3.4 Closer supervision 37
3.5 G-SIFI regulations 39
3.6 The next steps 41
3.7 Conclusion 44
4 The new framework 47
4.1 Introduction 47
4.2 Some basic liquidity risk measures 48
4.3 The first mover 50
4.4 Basel III: The new framework for liquidity risk measurement and monitoring 53
4.4.1 The liquidity coverage ratio 55
4.5 Inside the liquidity coverage ratio 63
4.6 The other metrics 66
4.7 Intraday liquidity risk 69
4.8 Beyond the ratios 72
4.9 Conclusion 74
5 Know thyself ! 75
5.1 Introduction 75
5.2 Some changes on the liabilities side 75
5.3 The role of leverage 79
5.4 The originate-to-distribute business model 82
5.5 The liquidity framework 84
5.6 Stress-testing and contingency funding plan 89
5.7 The CEBS identity card 95
5.8 Conclusions 97
5.9 Appendix: The CEBS Identity Card Annex (CEBS) 98
Part II Tools To Manage Liquidity Risk 109
6 Monitoring liquidity 111
6.1 A taxonomy of cash flows 111
6.2 Liquidity options 114
6.3 Liquidity risk 115
6.4 Quantitative liquidity risk measures 118
6.4.1 The term structure of expected cash flows and the term structure of expected cumulated cash flows 119
6.4.2 Liquidity generation capacity 123
6.4.3 The term structure of available assets 127
6.5 The term structure of expected liquidity 134
6.6 Cash flows at risk and the term structure of liquidity at risk 135
7 Liquidity buffer and term structure of funding 143
7.1 Introduction 143
7.2 Liquidity buffer and counterbalancing capacity 143
7.3 The first cause of the need for a liquidity buffer: Maturity mismatch 145
7.3.1 Some or all stressed scenarios do not occur 149
7.3.2 The cost of the liquidity buffer for maturity mismatch 152
7.3.3 Liquidity buffer costs when stressed scenarios do not occur 158
7.3.4 A more general formula for liquidity buffer costs 163
7.4 Funding assets with several liabilities 168
7.5 Actual scenarios severer than predicted 169
7.6 The term structure of available funding and the liquidity buffer 171
7.6.1 The term structure of forward cumulated funding and how to use it 175
7.7 Non-maturing liabilities 179
7.7.1 Pricing of NML and cost of the liquidity buffer 182
7.8 The second cause of the liquidity buffer: Collateral margining 186
7.8.1 A method to set the liquidity buffer for derivative collateral 186
7.8.2 The cost of the liquidity buffer for derivative collateral 188
7.9 The third cause of the liquidity buffer: Off-balance-sheet commitments 192
7.10 Basel III regulation and liquidity buffer 194
8 Models for market risk factors 199
8.1 Introduction 199
8.2 Stock prices and FX rates 199
8.3 Interest rate models 201
8.3.1 One-factor models for the zero rate 201
8.3.2 Vasicek model 202
8.3.3 The CIR model 202
8.3.4 The CIR++ model 209
8.3.5 The basic affine jump diffusion model 211
8.3.6 Numerical implementations 212
8.3.7 Discrete
