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76 reviewsBanks have realized that adequate systems and processes for identifying, measuring, monitoring and controlling liquidity risks help them to maintain a strong liquidity position, which in turn will increase the confidence of investors and rating agencies as well as improve funding costs and availability.
Liquidity Risk Measurement and Management: A Practitioner’s Guide to Global Best Practices provides the best practices in tools and techniques for bank liquidity risk measurement and management. Experienced bankers and highly regarded liquidity risk experts share their insights and practical experiences in this book.Content:
Chapter 1 Introduction (pages 1–11): Peter Neu and Leonard Matz
Chapter 2 Liquidity Risk Measurement (pages 13–36): Peter Neu
Chapter 3 Scenario Analysis and Stress Testing (pages 37–63): Leonard Matz
Chapter 4 Monitoring and Controlling Liquidity Risk (pages 65–99): Leonard Matz
Chapter 5 Liquidity Risk Management Strategies and Tactics (pages 100–120): Leonard Matz and Peter Neu
Chapter 6 Contingency Planning (pages 121–145): Leonard Matz
Chapter 7 Market Developments in Banks' Funding Markets (pages 146–169): Peter Neu, Armin Leistenschneider, Bernhard Wondrak and Martin Knippschild
Chapter 8 A Concept for Cash Flow and Funding Liquidity Risk (pages 171–203): Robert Fiedler
Chapter 9 The Liquidity Impact of Derivatives Collateral (pages 204–219): Louis D. Raffis
Chapter 10 Modeling Non?maturing Products (pages 220–256): Martin M. Bardenhewer
Chapter 11 The Net Cash Capital Tool in Bank Liquidity Management (pages 257–267): Louis D. Raffis
Chapter 12 Managing a Funding Crisis: Citizens First Bancorp, a Case Study 1989–1994 (pages 268–292): Bruce W. Mason
Chapter 13 Liquidity Management at UBS (pages 293–309): Bruce McLean Forrest
Chapter 14 Sound Liquidity Management as an Investment Criterion (pages 310–323): Dierk Brandenburg
Chapter 15 Dynamic Modeling and Optimization of Non?maturing Accounts (pages 325–359): Karl Frauendorfer and Michael Schurle
Chapter 16 Liquidity Risk and Classical Option Pricing Theory (pages 360–375): Robert A. Jarrow
Chapter 17 View from the Mountaintop (pages 377–389): Leonard Matz and Peter Neu
