Liquidity Management – A Funding Risk Handbook
John Wiley & Sons Inc (Hersteller)
978-1-119-08794-6 (ISBN)
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This book reviews modeling and internal process design in the context of the structural change in market conditions on banks' refinancing and control requirements, helping readers rethink and re-design their organization's approach to liquidity risk. * Understand the new liquidity regulatory framework and the implications for banks * Study the latest liquidity measurement models, with stress testing and scenario analysis * Discover the effect of illiquid financing markets and possible lasting impacts * Compare market liquidity and warning signals that detect further deterioration With much of the world still reeling from history, it's important that liquidity risk become a major focus going forward. This practical guide provides valuable information, but also real, actionable steps that can be taken today to forecast and mitigate risks with an eye toward greater stability and security. Liquidity Management is a thorough, comprehensive guide to a more robust management of liquidity risk.
ALDO SOPRANO is Head of Group Price Control at Unicredit and prior to that was in charge of Short Term Liquidity Risks and Operational Risk Management. He worked at Barclays Capital in London, served on the board of Pioneer Alternative Investments and Chaired the IIF working group on operational risks and is Board member of UniCredit Bank Ireland. He is the author of articles on risk management and presents at international conferences.
Acknowledgements Introductory Note Chapter One - Funding And Market Liquidity 1.1 Liquidity In The Financial Markets 1.2 Managing Liquidity Risk 1.3 Regulatory Frameworks Chapter Two - Short-Term Funding 2.1 Cash Flow Ladder 2.2 Liquidity Coverage Ratio 2.3 Liquidity Risk Indicators 2.4 Intraday Liquidity 2.5 Funding Concentration 2.6 Measuring Asset Liquidity Chapter Three - Long-Term Balance 3.1.Structural Funding 3.2 Customer Deposits Modeling 3.3 Stress Testing And Scenario Analysis Chapter Four - Liquidity Value At Risk 4.1 Market Liquidity Effects 4.2 Market Liquidity Value At Risk 4.3 Var Liquidation-Adjusted 4.4 Cash Flows At Risk Chapter Five - Control Framework 5.1 Governance Principles 5.2 Control Processses 5.3 Monitoring Liquidity Exposure 5.4 Setting Liqudity Risk Limits 5.5 Contingency Liquidity Plan Chapter Six - Conclusions 6.1 Funding Liquidity 6.2 Profitability Impact Of Larger Counterbalancing Asset Stocks 6.3 Pricing And Liquidity 6.4 Lessons Learnt Bibliography
Erscheint lt. Verlag | 13.3.2015 |
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Verlagsort | New York |
Sprache | englisch |
Maße | 152 x 229 mm |
Gewicht | 666 g |
Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
ISBN-10 | 1-119-08794-5 / 1119087945 |
ISBN-13 | 978-1-119-08794-6 / 9781119087946 |
Zustand | Neuware |
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