Liquidity risk: managing funding and asset risk
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Houndmills, Basingstoke
Palgrave Macmillan
2014
|
| Edition: | 2. ed. |
| Series: | Global financial markets
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XVIII, 300 S. graph. Darst. |
| ISBN: | 9781137374394 |
Staff View
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| 245 | 1 | 0 | |a Liquidity risk |b managing funding and asset risk |c Erik Banks |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Houndmills, Basingstoke |b Palgrave Macmillan |c 2014 | |
| 300 | |a XVIII, 300 S. |b graph. Darst. | ||
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| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Global financial markets | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a 7Liquidity (Economics) | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Asset-liability management | |
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Record in the Search Index
| _version_ | 1804151842270085120 |
|---|---|
| adam_text | CONTENTS
LIST OF FIGURES XI
LIST OF TABLES XII
LIST OF BOXES XIII
PREFACE TO THE 2ND EDITION XIV
ABOUT THE AUTHOR XVI
LIST OF ABBREVIATIONS XVII
PART I ELEMENTS OF CORPORATE LIQUIDITY
1 LIQUIDITY RISK DEFINED 3
DEFINITIONS OF LIQUIDITY RISK 3
LIQUIDITY, RISK, AND THE CORPORATION 7
MARKET RISK, CREDIT RISK, AND LIQUIDITY RISK 13
LIQUIDITY RISK AND THE FINANCIAL CRISIS OF 2007-2008 14
THE ROLE OF LIQUIDITY IN THE CRISIS 14
LESSONS FROM THE CRISIS 20
OVERVIEW OF THE BOOK 22
2 LIQUIDITY AND FINANCIAL OPERATIONS 24
LIQUIDITY OPERATING REQUIREMENTS 24
GENERAL APPROACHES TO LIQUIDITY MANAGEMENT 27
FINANCIAL IMPERATIVES 28
EXTERNAL REQUIREMENTS 29
THE LIQUIDITY RISK/RETURN TRADE-OFF 31
LIQUIDITY PROFILES ACROSS INDUSTRIES 33
FINANCIAL INSTITUTIONS 34
NON-FINANCIAL SERVICE COMPANIES 40
CAPITAL-INTENSIVE COMPANIES 41
MUNICIPALITIES AND SOVEREIGNS 42
ENDOGENOUS VERSUS EXOGENOUS LIQUIDITY 43
3 SOURCES OF LIQUIDITY 48
SOURCES OF ASSET LIQUIDITY 49
LIQUID ASSETS 49
CASH AND MARKETABLE SECURITIES .49
VI CONTENTS
RECEIVABLES 52
INVENTORIES 52
FIXED ASSETS AND INTANGIBLES 54
FIXED ASSETS 54
INTANGIBLES 55
SOURCES OF FUNDING LIQUIDITY 55
SHORT-TERM FUNDING MARKETS 57
COMMERCIAL PAPER, EURO COMMERCIAL PAPER 57
SHORT-TERM BANK FACILITIES 57
PAYABLES 58
DEPOSITS AND REPURCHASE AGREEMENTS 58
MEDIUM/LONG-TERM FUNDING MARKETS 60
MEDIUM-TERM NOTES AND EURONOTE FACILITIES 60
FUNDING AGREEMENTS AND GICS 60
LONG-TERM BONDS 61
LOANS 62
EQUITY CAPITAL 63
SOURCES OF OFF-BALANCE SHEET LIQUIDITY 64
SECURITIZATION 65
CONTINGENT FINANCINGS 66
LEASES 67
DERIVATIVES 68
AMALGAMATING LIQUIDITY SOURCES 71
PART II LIQUIDITY PROBLEMS
4 FUNDING LIQUIDITY RISK 77
SOURCES OF FUNDING LIQUIDITY RISK 78
UNPREDICTABLE CASH FLOWS 78
CORPORATIONS 79
FINANCIAL INSTITUTIONS 81
UNFAVOURABLE LEGAL OR REGULATORY ACTIONS 83
MISMANAGEMENT 84
NEGATIVE PERCEPTIONS/MARKET ACTIONS 84
EXOGENOUS CONSIDERATIONS 85
THE NATURE OF FUNDING PROBLEMS 87
ROLLOVER PROBLEMS 87
LACK OF MARKET ACCESS 88
COMMITMENT WITHDRAWAL 89
EXCESSIVE CONCENTRATIONS 90
THE EFFECTS OF FUNDING LIQUIDITY RISK 91
5 ASSET LIQUIDITY RISK 93
SOURCES OF ASSET LIQUIDITY RISK 96
CONTENTS VII
EXOGENOUS CONSIDERATIONS 96
THE NATURE OF ASSET PROBLEMS 98
LACK OF ASSET MARKETABILITY 99
LACK OF UNENCUMBERED ASSETS 101
EXCESSIVE CONCENTRATIONS 102
MISVALUED ASSETS 103
INSUFFICIENT COLLATERALIZATION 105
THE EFFECTS OF ASSET LIQUIDITY RISK 106
6 LIQUIDITY SPIRALS AND FINANCIAL DISTRESS 108
JOINT ASSET AND FUNDING RISKS 108
PROBLEMS 109
CAUSES 112
THE LIQUIDITY SPIRAL 113
PROBLEMS 113
CAUSES 115
DEBT INVESTORS AND BANKS 116
RATING AGENCIES 118
MANAGEMENT REACTION 119
FINANCIAL DISTRESS 119
CONTAGION 120
7 CASE STUDIES IN LIQUIDITY MISMANAGEMENT 122
DREXEL BURNHAM LAMBERT (1990) 123
ASKIN CAPITAL (1994) 126
ORANGE COUNTY (1994) 129
LONG TERM CAPITAL MANAGEMENT (1998) 131
GENERAL AMERICAN (1999) 135
SWISSAIR (2001) 136
ENRON (2001) 140
NORTHERN ROCK (2008) 144
LEHMAN BROTHERS (2008) 148
PART HI MANAGING LIQUIDITY RISKS
8 MEASURING LIQUIDITY RISK 155
COMMON LIQUIDITY MEASURES 155
LIQUIDITY RATIOS 157
CASH FLOW GAPS 162
FINANCIAL INSTRUMENT LIQUIDITY MEASURES 168
STRESS TESTS 173
STRESS TESTING FRAMEWORK 175
MARKET PARAMETERS 176
LIQUIDATION HORIZON 178
VIII CONTENTS
CASH FLOWS
ASSET DISPOSALS, SECURED FUNDING AND HAIRCUTS
UNSECURED FUNDING
COVENANTS AND TERMINATIONS
COLLATERAL
CURRENCY EXPOSURES
EVENT RISKS AND JOINT SCENARIOS
9 CONTROLLING LIQUIDITY RISK
GOVERNANCE STRUCTURE
LIQUIDITY RISK MANDATE
RISK PLAN
FINANCIAL AND HUMAN RESOURCES
MANAGEMENT DUTIES AND RESPONSIBILITIES
LIQUIDITY RISK CONTROLS
ASSET LIQUIDITY CONTROLS
LIQUID AND FIXED ASSET LIMITS
LIQUID ASSET LIMITS
COLLATERAL/PLEDGING LIMITS
FUNDING LIQUIDITY CONTROLS
DIVERSIFIED FUNDING LIMITS
COMMITTED FACILITY LIMITS
JOINT LIQUIDITY CONTROLS
CASH FLOW GAP LIMITS
BALANCE SHEET TARGET LIMITS
HYBRID RATIO LIMITS
OFF-BALANCE SHEET CONTROLS
FORWARD COMMITMENTS AND CONTINGENCIES
OTHER SAFEGUARDS
DEFENSIVE INTERVAL (MINIMUM SURVIVAL PERIOD)
RESERVES
MARK AND MODEL VERIFICATION
PENALTIES
EXTERNAL RELATIONSHIP MANAGEMENT
LIQUIDITY RISK MONITORING
ASSET AND FUNDING PORTFOLIOS
OFF-BALANCE SHEET COMMITMENTS AND CONTINGENCIES
FORWARD BALANCE SHEET
STRESS SCENARIOS
GENERAL INDICATORS
MONITORING GOALS
TECHNICAL CAPABILITIES
178
179
182
183
184
185
185
188
188
191
191
192
194
196
197
198
199
202
204
205
207
210
210
211
212
212
213
215
215
216
216
217
218
219
220
221
221
221
222
224
225
CONTENTS IX
10 LIQUIDITY CRISIS MANAGEMENT 227
SCOPE AND FOCUS 227
EX-ANTE MARKET ACCESS 231
DEFENSIVE MEASURES 232
RECENTRALIZATION 232
FUNDING MANAGEMENT 232
PRIORITIZING FUNDING DRAW-DOWNS 232
EXTENDING LIABILITY MATURITIES 233
SUSPENDING CASH FLOWS 234
ASSET MANAGEMENT 235
RISK HEDGING 236
COMMUNICATIONS 236
INVOKING AND TERMINATING THE PROGRAM 237
DISASTER RECOVERY 239
TESTING THE PLAN 239
11 NEW REGULATORY INITIATIVES 242
BASEL III 243
NEW LIQUIDITY MEASURES 243
LIQUIDITY COVERAGE RATIO (LCR) 244
NET STABLE FUNDING RATIO (NSFR) 246
MONITORING LIQUIDITY RISKS 250
DODD-FRANK ACT 252
LIQUIDITY CONSULTATION 253
FINANCIAL SERVICES AUTHORITY S BIPRU 12 254
SOLVENCY II AND OTHER INSURANCE REGULATIONS 257
12 SUMMARY: THE FUTURE OF ACTIVE LIQUIDITY
RISK MANAGEMENT 259
THE MICRO ROLE: BEST PRACTICES 260
CREATING A SOUND GOVERNANCE FRAMEWORK 260
IMPLEMENTING PROPER MEASURES AND REPORTING 261
USING TACTICAL CONTROLS 262
DEVELOPING AND IMPLEMENTING A CRISIS MANAGEMENT PROCESS 263
PERFORMING ONGOING REVIEWS 263
THE MACRO ROLE . 263
CONDUCTING REGULAR INSPECTIONS 265
PROMOTING COMPETITION 265
AVOIDING FRAGMENTATION 266
MINIMIZING COSTS 266
HARMONIZING ACCOUNTING TREATMENT 266
REINFORCING PROPER CAPITAL ALLOCATIONS 267
PROVIDING SELECTIVE LENDER OF LAST RESORT SUPPORT 267
X CONTENTS
APPENDIX: A PRIMER ON GAP MANAGEMENT 270
NOTES 280
SELECTED REFERENCES 294
INDEX 297
|
| any_adam_object | 1 |
| author | Banks, Erik 1965- |
| author_GND | (DE-588)171578902 |
| author_facet | Banks, Erik 1965- |
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| bvnumber | BV041626301 |
| classification_rvk | QP 740 |
| ctrlnum | (OCoLC)873438244 (DE-599)BVBBV041626301 |
| discipline | Wirtschaftswissenschaften |
| edition | 2. ed. |
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| id | DE-604.BV041626301 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:01:14Z |
| institution | BVB |
| isbn | 9781137374394 |
| language | English |
| lccn | 014000975 |
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| owner | DE-1050 |
| owner_facet | DE-1050 |
| physical | XVIII, 300 S. graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Palgrave Macmillan |
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| series2 | Global financial markets |
| spelling | Banks, Erik 1965- Verfasser (DE-588)171578902 aut Liquidity risk managing funding and asset risk Erik Banks 2. ed. Houndmills, Basingstoke Palgrave Macmillan 2014 XVIII, 300 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Global financial markets Includes bibliographical references and index 7Liquidity (Economics) Risk management Asset-liability management SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027067327&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Banks, Erik 1965- Liquidity risk managing funding and asset risk 7Liquidity (Economics) Risk management Asset-liability management |
| title | Liquidity risk managing funding and asset risk |
| title_auth | Liquidity risk managing funding and asset risk |
| title_exact_search | Liquidity risk managing funding and asset risk |
| title_full | Liquidity risk managing funding and asset risk Erik Banks |
| title_fullStr | Liquidity risk managing funding and asset risk Erik Banks |
| title_full_unstemmed | Liquidity risk managing funding and asset risk Erik Banks |
| title_short | Liquidity risk |
| title_sort | liquidity risk managing funding and asset risk |
| title_sub | managing funding and asset risk |
| topic | 7Liquidity (Economics) Risk management Asset-liability management |
| topic_facet | 7Liquidity (Economics) Risk management Asset-liability management |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027067327&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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