Liquidity risk is hard to understand. It needs to be broken down into its components and drivers in order to manage and model it successfully. The market turmoil that began in mid-2007 re-emphasised the importance of liquidity to the functioning of financial markets and the banking sector. In advanc...

Full description

Bibliographic Details

Main Author:	Fiedler, Robert (Author)
Format:	Book
Language:	English
Published:	London Risk Books 2012
Edition:	Repr. with corrections
Subjects:	Bank liquidity / Econometric models Risk management / Econometric models Bank liquidity Bank Cash Management Risikomanagement Ökonometrisches Modell Liquiditätsrisiko Finanzmathematik
Online Access:	Inhaltsverzeichnis
Summary:	Liquidity risk is hard to understand. It needs to be broken down into its components and drivers in order to manage and model it successfully. The market turmoil that began in mid-2007 re-emphasised the importance of liquidity to the functioning of financial markets and the banking sector. In advance of the turmoil, asset markets were buoyant and funding was readily available at low cost. The reversal in market conditions illustrated how quickly liquidity can evaporate and that illiquidity can last for an extended period of time. Financial regulators across the globe, are urging institutions to address this dimension of financial risk more comprehensively. In this guide to modelling liquidity risk, Robert Fiedler provides a coherent model which allows the reader to understand the components of illiquidity risk and how they interact and as a result enable you to build a quantitative model to display, measure and limit risk
Item Description:	Includes index
Physical Description:	XIV, 290 S. graph. Darst.
ISBN:	1906348464 9781906348465