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Liquidity Risk Management In Banks

Author : Roberto Ruozi
ISBN : 9783642295805
Genre : Business & Economics
File Size : 69. 57 MB
Format : PDF
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The recent turmoil on financial markets has made evident the importance of efficient liquidity risk management for the stability of banks. The measurement and management of liquidity risk must take into account economic factors such as the impact area, the timeframe of the analysis, the origin and the economic scenario in which the risk becomes manifest. Basel III, among other things, has introduced harmonized international minimum requirements and has developed global liquidity standards and supervisory monitoring procedures. The short book analyses the economic impact of the new regulation on profitability, on assets composition and business mix, on liabilities structure and replacement effects on banking and financial products.​

Risk And Liquidity

Author : Hyun Song Shin
ISBN : 9780191613838
Genre : Business & Economics
File Size : 61. 57 MB
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This book presents the Clarendon Lectures in Finance by one of the leading exponents of financial booms and crises. Hyun Song Shin's work has shed light on the recent global financial crisis and he has been a central figure in the policy debates. The paradox of the global financial crisis is that it erupted in an era when risk management was at the core of the management of the most sophisticated financial institutions. This book explains why. The severity of the crisis is explained by financial development that put marketable assets at the heart of the financial system, and the increased sophistication of financial institutions that held and traded the assets. Step by step, the lectures build an analytical framework that take the reader through the economics behind the fluctuations in the price of risk and the boom-bust dynamics that follow. The book examines the role played by market-to-market accounting rules and securitisation in amplifying the crisis, and draws lessons for financial architecture, financial regulation and monetary policy. This book will be of interest to all serious students of economics and finance who want to delve beneath the outward manifestations to grasp the underlying dynamics of the boom-bust cycle in a modern financial system - a system where banking and capital market developments have become inseparable.

Liquidity Management

Author : Aldo Soprano
ISBN : 9781118413999
Genre : Business & Economics
File Size : 81. 30 MB
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Robust management of liquidity risk within the changing regulatory framework Liquidity Management applies current risk management theory, techniques, and processes to liquidity risk control and management to help organizations prepare in case of future economic crisis and changing regulatory framework. Based on extensive research conducted on banks' datasets, this book addresses the practical challenges and critical issues that frequently go unmentioned, and discusses the recent impact of sovereign crises on banks' liquidity processes and approaches. Market practices and regulatory stances are reviewed and compared to bank treasuries' response to liquidity crunches, refinancing risks are explored in the context of Basel 3, and alternative funding is analyzed in terms of resilience and allocation. Coverage includes the recent crisis, new regulations, and the techniques, processes, and strategies banks use in managing liquidity risk. The 2008 and 2010 crises brought liquidity risk out of the shadows as even profitable and well-capitalized banks were swept away with breathtaking speed. This book reviews modeling and internal process design in the context of the structural change in market conditions on banks' refinancing and control requirements, helping readers rethink and re-design their organization's approach to liquidity risk. Understand the new liquidity regulatory framework and the implications for banks Study the latest liquidity measurement models, with stress testing and scenario analysis Discover the effect of illiquid financing markets and possible lasting impacts Compare market liquidity and warning signals that detect further deterioration With much of the world still reeling from history, it's important that liquidity risk become a major focus going forward. This practical guide provides valuable information, but also real, actionable steps that can be taken today to forecast and mitigate risks with an eye toward greater stability and security. Liquidity Management is a thorough, comprehensive guide to a more robust management of liquidity risk.

Market Liquidity Risk

Author : Andria van der Merwe
ISBN : 9781137389237
Genre : Business & Economics
File Size : 68. 79 MB
Format : PDF, Kindle
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Andria van der Merwe provides a thorough guide to the critical tools needed to navigate liquidity markets and value security pricing in the presence of market frictions and information asymmetries. This is essential reading for anyone with a current or future interest in liquidity models, market structures, and trading mechanisms.

Liquidity Risk Management

Author : Shyam Venkat
ISBN : 9781118881927
Genre : Business & Economics
File Size : 20. 45 MB
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The most up-to-date, comprehensive guide on liquidity risk management—from the professionals Written by a team of industry leaders from the Price Waterhouse Coopers Financial Services Regulatory Practice, Liquidity Risk Management is the first book of its kind to pull back the curtain on a global approach to liquidity risk management in the post-financial crisis. Now, as a number of regulatory initiatives emerge, this timely and informative book explores the real-world implications of risk management practices in today's market. Taking a clear and focused approach to the operational and financial obligations of liquidity risk management, the book builds upon a foundational knowledge of banking and capital markets and explores in-depth the key aspects of the subject, including governance, regulatory developments, analytical frameworks, reporting, strategic implications, and more. The book also addresses management practices that are particularly insightful to liquidity risk management practitioners and managers in numerous areas of banking organizations. Each chapter is authored by a Price Waterhouse Coopers partner or director who has significant, hands-on expertise Content addresses key areas of the subject, such as liquidity stress testing and information reporting Several chapters are devoted to Basel III and its implications for bank liquidity risk management and business strategy Includes a dedicated, current, and all-inclusive look at liquidity risk management Complemented with hands-on insight from the field's leading authorities on the subject, Liquidity Risk Management is essential reading for practitioners and managers within banking organizations looking for the most current information on liquidity risk management.

Principles For Sound Liquidity Risk Management And Supervision

Author : Basel Committee on Banking Supervision
ISBN : 9291317675
Genre : Banks and banking
File Size : 84. 57 MB
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This paper focus on the principles underscore the importance of establishing a robust liquidity risk management framework that is well integrated into the bank-wide risk management process. The primary objective of this guidance is to raise banks' resilience to liquidity stress. Among other things, the principles seek to raise standards in the following areas: 1. Governance and the articulation of a firm-wide liquidity risk tolerance; 2. Liquidity risk measurement, including the capture of off-balance sheet exposures, securitisation activities, and other contingent liquidity risks that were not well managed during the financial market turmoil; 3. Aligning the risk-taking incentives of individual business units with the liquidity risk exposures their activities create for the bank; 4. Stress tests that cover a variety of institution-specific and market-wide scenarios, with a link to the development of effective contingency funding plans; 5. Strong management of intraday liquidity risks and collateral positions; 6. Maintenance of a robust cushion of unencumbered, high quality liquid assets to be in a position to survive protracted periods of liquidity stress; and 7. Regular public disclosures, both quantitative and qualitative, of a bank's liquidity risk profile and management.

Measuring And Managing Liquidity Risk

Author : Antonio Castagna
ISBN : 9781119990246
Genre : Business & Economics
File Size : 75. 11 MB
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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, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, 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 liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.

An Alternative Approach To Liquidity Risk Management Of Islamic Banks

Author : Muhammed Habib Dolgun
ISBN : 9783110580150
Genre : Business & Economics
File Size : 79. 2 MB
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There are several studies on the performance, growth, and efficiency of Islamic banks, but empirical studies from the regulatory and supervisory perspectives are limited. The authors evaluate the liquidity risk management of Islamic banks regarding Basel III regulations; they examine the factors that affect liquidity risk management of Islamic banks and develop an alternative regulatory framework appropriate for liquidity management.

The Liquidity Risk Management Guide

Author : Gudni Adalsteinsson
ISBN : 9781118858004
Genre : Business & Economics
File Size : 28. 8 MB
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Liquidity risk is in the spotlight of both regulators and management teams across the banking industry. The European banking regulator has introduced and implemented a stronger liquidity regulatory framework and local regulators have made liquidity a top priority on their supervisory agenda. Banks have accordingly followed suit. Liquidity risk is now a topic widely discussed in boardrooms as banks strive to set up a strong and efficient liquidity risk management framework which, while maintaining sufficient resources, does not jeopardize the necessary profitability and return targets. The Liquidity Risk Management Guide: From Policy to Pitfalls is a practical guide for banks and risk professionals to proactively manage liquidity risk in a systemic way. The book sets out its own comprehensive framework, which includes all the various and critical components of liquidity risk management. The recommendations are based on experiences from the recent financial crisis, best practices and compliance with current and future regulatory requirements, with special emphasis on Basel III. Using the new ‘6 Step Framework’, the book provides step-by-step guidance for the reader to build their liquidity management framework into a new overarching structure, which brings all the different parts of liquidity risk into one approach. Special attention is given to the challenges that banks currently face when adopting and implementing the Basel III liquidity requirements and guidance is given on how the new metrics can be integrated into the existing framework, providing the most value to the banks instead of being a regulatory reporting matter.

Liquidity Risk

Author : E. Banks
ISBN : 9781137374400
Genre : Business & Economics
File Size : 36. 36 MB
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Liquidity Management is now a core consideration for banks and other financial institutions following the collapse of numerous well-known banks in 2007-8. This timely new edition will provide practical guidance on liquidity risk and its management – now mandatory under new regulation.

Market Liquidity

Author : Yakov Amihud
ISBN : 9780521191760
Genre : BUSINESS & ECONOMICS
File Size : 42. 75 MB
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This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.

Bank Capital Risk And Liquidity Creation

Author : Christa H. S. Bouwman
ISBN : UOM:39015061026475
Genre :
File Size : 71. 16 MB
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Liquidity Risk Measurement And Management

Author : Leonard Matz
ISBN : 9780470821824
Genre : Business & Economics
File Size : 67. 38 MB
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Major events such as the Asian crisis in 1997, the Russian default on short-term debt in 1998, the downfall of the hedge fund long-term capital management in 1998 and the disruption in payment systems following the World Trade Center attack in 2001, all resulted in increased management’s attention to liquidity risk. Banks 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.

Liquidity Risk Management

Author : Leonard M. Matz
ISBN : PSU:000046807496
Genre : Business & Economics
File Size : 42. 70 MB
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Financial Risk Management

Author : Jimmy Skoglund
ISBN : 9781119135517
Genre : Business & Economics
File Size : 79. 25 MB
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Presenting an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests, this guide offers the most up-to-date information and expert insight into real risk management, based on the authors' experience in developing and implementing risk analytics in banks around the globe. --

A Quantitative Liquidity Model For Banks

Author : Christian Schmaltz
ISBN : 9783834985545
Genre : Business & Economics
File Size : 23. 47 MB
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Christian Schmaltz identifies product cash flows, funding spread, funding capacity, haircuts, and short-term interest rates as key liquidity variables. Then, he assumes specific stochastic processes for the key variables leading to a particular liquidity model. The model is used to derive liquidity funds transfer prices and to optimally manage liquidity.

Debt Risk And Liquidity In Futures Markets

Author : Barry Goss
ISBN : 9781134147328
Genre : Business & Economics
File Size : 29. 64 MB
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The issues of developing country debt crises, increased volatility and risk, and the determination of market liquidity are high on the agendas of policy makers, market participants and researchers in the area of financial markets. These issues are also of major importance to regulators and exchange officials. This book contains a collection of eight papers which provide new insights into all three issues, with special emphasis on futures markets, which have received relatively little attention in the analysis of these problems. Issues explored and findings reported in this book, have implications for policy makers in framing recommendations to government, for government officials in shaping the regulatory structure of futures exchanges, for traders on these exchanges, and also for researchers planning future investigations. The book is relevant for post-graduate and advanced under-graduate courses on financial markets in Economics, Finance and Banking.

Liquidity And Transparency In Bank Risk Management

Author : Mr.Lev Ratnovski
ISBN : 9781616356774
Genre : Business & Economics
File Size : 66. 71 MB
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Banks may be unable to refinance short-term liabilities in case of solvency concerns. To manage this risk, banks can accumulate a buffer of liquid assets, or strengthen transparency to communicate solvency. While a liquidity buffer provides complete insurance against small shocks, transparency covers also large shocks but imperfectly. Due to leverage, an unregulated bank may choose insufficient liquidity buffers and transparency. The regulatory response is constained: while liquidity buffers can be imposed, transparency is not verifiable. Moreover, liquidity requirements can compromise banks' transparency choices, and increase refinancing risk. To be effective, liquidity requirements should be complemented by measures that increase bank incentives to adopt transparency.

Funding Liquidity Risk

Author : Mathias Drehmann
ISBN : IND:30000111263129
Genre : Asset-liability management
File Size : 89. 7 MB
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Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure based on publicly available data remains so far elusive. We address this gap by showing that aggressive bidding at central bank auctions reveals funding liquidity risk. We can extract an insurance premium from banks' bids which we propose as measure of funding liquidity risk. Using a unique data set consisting of all bids in the main refinancing operation auctions conducted at the ECB between June 2005 and October 2008 we find that funding liquidity risk is typically stable and low, with occasional spikes, especially around key events during the recent crisis. We also document downward spirals between funding liquidity risk and market liquidity. As measurement without clear definitions is impossible, we initially provide definitions of funding liquidity and funding liquidity risk.

Risk Management In Banking

Author : Jo?l Bessis
ISBN : 9781118660218
Genre : Business & Economics
File Size : 50. 63 MB
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Providing a thorough reference to the most current state of the industry, with complete information and expert guidance, this book has been streamlined for easy navigation and reflects the changes in the field, while remaining comprehensive and detailed in approach and coverage. --

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