Liquidity risk measurement and management: a practitioner's guide to global best practices
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Singapore
Wiley
2007
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 395 s. |
| ISBN: | 9780470821824 0470821825 |
Staff View
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Record in the Search Index
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| adam_text | Contents
Acknowledgments
ix
About the Contributors
xi
1
Introduction Peter
Neu
and Leonard Matz
1
Part
1
Measuring and Monitoring Liquidity Risk
13
2
Liquidity Risk Measurement Peter
Neu 15
3
Scenario Analysis and Stress Testing Leonard Matz
37
Part
2
Managing Liquidity Risk
65
4
Monitoring and Controlling Liquidity Risk Leonard Matz
67
5
Liquidity Risk Management Strategies and Tactics Leonard Matz
and Peter
Neu 100
6
Contingency Planning Leonard Matz
121
7
Market Developments in Banks Funding Markets Peter
Neu, Armin
Leistenschneider, Bernhard Wondrak and Martin Knippschild 146
Part3
Case Studies and
Alternative Views 171
8
A Concept for Cash Flow and Funding Liquidity Risk Robert Fiedler
173
9
The Liquidity Impact of Derivatives Collateral Louis D. Raffis
204
10
Modeling Non-maturing Products Martin M. Bardenhewer
220
11
The Net Cash Capital Tool in Bank Liquidity Management
Louis D. Raffis
257
12
Managing a Funding Crisis: Citizens First Bancorp,
a Case Study
1989-1994
Bruce W. Mason
268
13
Liquidity Management at UBS Bruce McLean Forrest
293
14
Sound Liquidity Management as an Investment Criterion
Dierk Brandenburg
310
Part
4
Cutting Edge
325
15
Dynamic Modeling and Optimization of Non-maturing Accounts
Karl Frauendorfer and Michael
Schürte 327
16
Liquidity Risk and Classical Option Pricing Theory Robert A. Jarrow
360
Part
5
Conclusion
377
17
View from the
Mountaintop
Leonard Matz and Peter
Neu 379
Index
391
|
| adam_txt |
Contents
Acknowledgments
ix
About the Contributors
xi
1
Introduction Peter
Neu
and Leonard Matz
1
Part
1
Measuring and Monitoring Liquidity Risk
13
2
Liquidity Risk Measurement Peter
Neu 15
3
Scenario Analysis and Stress Testing Leonard Matz
37
Part
2
Managing Liquidity Risk
65
4
Monitoring and Controlling Liquidity Risk Leonard Matz
67
5
Liquidity Risk Management Strategies and Tactics Leonard Matz
and Peter
Neu 100
6
Contingency Planning Leonard Matz
121
7
Market Developments in Banks' Funding Markets Peter
Neu, Armin
Leistenschneider, Bernhard Wondrak and Martin Knippschild 146
Part3
Case Studies and
Alternative Views 171
8
A Concept for Cash Flow and Funding Liquidity Risk Robert Fiedler
173
9
The Liquidity Impact of Derivatives Collateral Louis D. Raffis
204
10
Modeling Non-maturing Products Martin M. Bardenhewer
220
11
The Net Cash Capital Tool in Bank Liquidity Management
Louis D. Raffis
257
12
Managing a Funding Crisis: Citizens First Bancorp,
a Case Study
1989-1994
Bruce W. Mason
268
13
Liquidity Management at UBS Bruce McLean Forrest
293
14
Sound Liquidity Management as an Investment Criterion
Dierk Brandenburg
310
Part
4
Cutting Edge
325
15
Dynamic Modeling and Optimization of Non-maturing Accounts
Karl Frauendorfer and Michael
Schürte 327
16
Liquidity Risk and Classical Option Pricing Theory Robert A. Jarrow
360
Part
5
Conclusion
377
17
View from the
Mountaintop
Leonard Matz and Peter
Neu 379
Index
391 |
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| spellingShingle | Liquidity risk measurement and management a practitioner's guide to global best practices Bank liquidity Bank management Risk management Asset-liability management Cash Management (DE-588)4122992-7 gnd Bankenliquidität (DE-588)4213508-4 gnd |
| subject_GND | (DE-588)4122992-7 (DE-588)4213508-4 (DE-588)4143413-4 |
| title | Liquidity risk measurement and management a practitioner's guide to global best practices |
| title_auth | Liquidity risk measurement and management a practitioner's guide to global best practices |
| title_exact_search | Liquidity risk measurement and management a practitioner's guide to global best practices |
| title_exact_search_txtP | Liquidity risk measurement and management a practitioner's guide to global best practices |
| title_full | Liquidity risk measurement and management a practitioner's guide to global best practices ed. by Leonard Matz ... |
| title_fullStr | Liquidity risk measurement and management a practitioner's guide to global best practices ed. by Leonard Matz ... |
| title_full_unstemmed | Liquidity risk measurement and management a practitioner's guide to global best practices ed. by Leonard Matz ... |
| title_short | Liquidity risk measurement and management |
| title_sort | liquidity risk measurement and management a practitioner s guide to global best practices |
| title_sub | a practitioner's guide to global best practices |
| topic | Bank liquidity Bank management Risk management Asset-liability management Cash Management (DE-588)4122992-7 gnd Bankenliquidität (DE-588)4213508-4 gnd |
| topic_facet | Bank liquidity Bank management Risk management Asset-liability management Cash Management Bankenliquidität Aufsatzsammlung |
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