Measuring and Managing Liquidity Risk by Antonio Castagna

By Antonio Castagna

A totally up to date, state-of-the-art consultant to the size and administration of liquidity risk

Written for entrance and heart place of work possibility administration and quantitative practitioners, this e-book offers the ground-level wisdom, instruments, and methods for powerful liquidity danger administration. hugely functional, notwithstanding completely grounded in conception, the booklet starts off with the fundamentals of liquidity hazards and, utilizing examples pulled from the new monetary predicament, how they appear themselves in monetary associations. The publication then is going directly to examine instruments which are used to degree liquidity threat, discussing possibility tracking and different versions used, particularly monetary variables types, credits variables types, and behavioural variables versions, after which at handling those dangers. in addition to taking a look at the instruments precious for powerful dimension and administration, the publication additionally appears to be like at and discusses present law and the implication of recent Basel rules on administration systems and tools.

Show description

Read Online or Download Measuring and Managing Liquidity Risk PDF

Best risk management books

Controls, Procedures and Risk (Securities Institute Operations Management)

'Controls, approaches and danger' covers the talents and systems had to permit the tracking and handling of chance and the authors concentrate on techniques layout, implementation and documentation. huge emphasis can be given to the main controls and the significance of regulate services, audit and hazard administration teams and coverage.

Understanding Market, Credit, and Operational Risk: The Value at Risk Approach

A step by step, actual global advisor to using worth in danger (VaR) types, this article applies the VaR method of the dimension of marketplace probability, credits threat and operational hazard. The ebook describes and opinions proprietary versions, illustrating them with sensible examples drawn from real case reports.

Risk Management for Insurers, Second Edition

Everywhere in the globe insurers are dealing with the effect of the turmoil at the monetary markets, making it extra the most important than ever to totally know how to enforce chance administration top perform. during this well timed moment variation, specialist René Doff argues that Solvency II, which goals to enhance criteria of threat evaluation, can be considered as a chance.

Finance and the Behavioral Prospect: Risk, Exuberance, and Abnormal Markets

This ebook explains how investor habit, from psychological accounting to the flamable interaction of desire and worry, impacts monetary economics. The transformation of portfolio concept starts off with the identity of anomalies. Gaps in notion and behavioral departures from rationality spur momentum, irrational exuberance, and speculative bubbles.

Additional resources for Measuring and Managing Liquidity Risk

Example text

As long as peripheral NCBs are able to replace private funding—the limiting factor is the amount of collateral that can be pledged—there is no additional risk due to TARGET2 imbalances. These imbalances can arise simply by tightening funding conditions for banks that led to stronger reliance on the central bank as a funding source, as experienced dramatically by Greece, Ireland and Portugal over the last two years. By increasing its liquidity provisions to eurozone banks, the Eurosystem also inevitably increased the credit risk it faces, despite the various haircuts applied to the collateral pledged.

He buys USD100 million worth of assets at a 10% margin: he finances only USD10 million with his own capital and borrows the other USD90 million. Now suppose that the value of the asset declines to USD95 million. The investor has lost USD5 million and has only USD5 million of his own capital remaining because of the mark-to-market. In order to keep his leverage ratio constant at 10, he has to reduce the overall position to USD50 million, which implies selling assets worth USD45 million exactly when the price is low.

8. The foreign exchange swap market One of the traditional US dollar funding channels for non US-financial institutions has always been the foreign exchange swap market. This market allows banks not headquartered in the US to cover their US dollar needs without assuming a substantial foreign exchange balance sheet exposure. FX swaps enable banks which have raised funds in one currency to swap those proceeds and their subsequent interest payments in another currency over a finite period: they broaden the availability of funding to cover multiple currency markets.

Download PDF sample

Rated 4.34 of 5 – based on 33 votes