06420cam a2200793Ia 4500 ocn853363001 OCoLC 20171106100222.0 m o d cr cnu---unuuu 130720s2013 enk ob 001 0 eng d 9781118652251 (electronic bk.) 1118652258 (electronic bk.) 9781118818466 (electronic bk.) 1118818466 (electronic bk.) 1299738524 9781299738522 1119990246 (hardback) 9781119990246 (hardback) 9781119990246 (hardback) AU@ 000052185319 AU@ 000053042244 CHNEW 000641367 DEBBG BV041291933 DEBBG BV041573295 DEBBG BV041904847 DEBSZ 397585772 DEBSZ 423188852 DEBSZ 449371417 DKDLA 820120-katalog:000664716 NZ1 15341889 DEBBG BV043396094 (OCoLC)853363001 (OCoLC)857078246 (OCoLC)865020974 (OCoLC)869833443 (OCoLC)961649858 (OCoLC)962642960 (OCoLC)966261439 CL0500000375 Safari Books Online EBLCP eng pn EBLCP N$T IDEBK DG1 CUS E7B OCLCO DEBSZ B24X7 UMI BNA OCLCQ YDXCP RECBK OCLCF DEBBG OCLCQ COO OCLCQ LOA MAIN HG178 BUS 027000 bisacsh 332 23 Castagna, Antonio. Measuring and managing liquidity risk / Antonio Castagna and Francesco Fede. [electronic resource] Chichester, West Sussex, U.K. : Wiley, 2013. 1 online resource (xxii, 577 pages). text txt rdacontent computer c rdamedia online resource cr rdacarrier The Wiley finance series 8.1 Introduction. Includes bibliographical references and index. Measuring and Managing Liquidity Risk; Contents; Preface; About the authors; Abbreviations and acronyms; PART I LIQUIDITY AND BANKING ACTIVITY; 1 Banks as lemons?; 1.1 Introduction; 1.2 The first wave; 1.3 Banks as lemons?; 1.4 The response; 1.5 The second wave; 1.6 Conclusion; 2 A journey into liquidity; 2.1 Introduction; 2.2 Central bank liquidity; 2.3 Funding liquidity; 2.4 Market liquidity; 2.5 The virtuous circle; 2.6 The vicious circle; 2.8 The role of the central bank, supervision and regulation; 2.9 Conclusions; 3 Too big to fail; 3.1 Introduction; 3.2 When giants fall. 3.3 A hard lesson3.4 Closer supervision; 3.5 G-SIFI regulations; 3.6 The next steps; 3.7 Conclusion; 4 The new framework; 4.1 Introduction; 4.2 Some basic liquidity risk measures; 4.3 The first mover; 4.4 Basel III: The new framework for liquidity risk measurement and monitoring; 4.4.1 The liquidity coverage ratio; 4.5 Inside the liquidity coverage ratio; 4.6 The other metrics; 4.7 Intraday liquidity risk; 4.8 Beyond the ratios; 4.9 Conclusion; 5 Know thyself!; 5.1 Introduction; 5.2 Some changes on the liabilities side; 5.3 The role of leverage; 5.4 The originate-to-distribute business model. 5.5 The liquidity framework5.6 Stress-testing and contingency funding plan; 5.7 The CEBS identity card; 5.8 Conclusions; 5.9 Appendix: The CEBS Identity Card Annex (CEBS); PART II TOOLS TO MANAGE LIQUIDITY RISK; 6 Monitoring liquidity; 6.1 A taxonomy of cash flows; 6.2 Liquidity options; 6.3 Liquidity risk; 6.4 Quantitative liquidity risk measures; 6.4.1 The term structure of expected cash flows and the term structure of expected cumulated cash flows; 6.4.2 Liquidity generation capacity; 6.4.3 The term structure of available assets; 6.5 The term structure of expected liquidity. 6.6 Cash flows at risk and the term structure of liquidity at risk7 Liquidity buffer and term structure of funding; 7.1 Introduction; 7.2 Liquidity buffer and counterbalancing capacity; 7.3 The first cause of the need for a liquidity buffer: Maturity mismatch; 7.3.1 Some or all stressed scenarios do not occur; 7.3.2 The cost of the liquidity buffer for maturity mismatch; 7.3.3 Liquidity buffer costs when stressed scenarios do not occur; 7.3.4 A more general formula for liquidity buffer costs; 7.4 Funding assets with several liabilities; 7.5 Actual scenarios severer than predicted. 7.6 The term structure of available funding and the liquidity buffer7.6.1 The term structure of forward cumulated funding and how to use it; 7.7 Non-maturing liabilities; 7.7.1 Pricing of NML and cost of the liquidity buffer; 7.8 The second cause of the liquidity buffer: Collateral margining; 7.8.1 A method to set the liquidity buffer for derivative collateral; 7.8.2 The cost of the liquidity buffer for derivative collateral; 7.9 The third cause of the liquidity buffer: Off-balance-sheet commitments; 7.10 Basel III regulation and liquidity buffer; 8 Models for market risk factors. This is 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, it provides the ground-level knowledge, tools and techniques for effective liquidity risk management. Written with a highly practical cut, 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 l. Online resource; title from PDF title page (Wiley, viewed September 12, 2013). Liquidity (Economics) Financial risk. BUSINESS & ECONOMICS Finance. bisacsh Financial risk. fast (OCoLC)fst01739663 Liquidity (Economics) fast (OCoLC)fst00999682 Electronic books. Electronic books. local Fede, Francesco. Print version: Antonio Castagna. Measuring and managing liquidity risk. Chichester, West Sussex, U.K. : Wiley, 2013 1119990246 (OCoLC)849498280 Wiley finance series. http://onlinelibrary.wiley.com/book/10.1002/9781118818466 Wiley Online Library ddc BK 206897 206897