Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices

Overview

This book gives you the guidance and the tools you require to take control of your bank's liquidity risk. No other resource takes you from the general principles of liquidity management to the specific financial strategies and gives you the tools you need to implement them including: Specific recommendations for liquidity management Bank-specific case studies and examples (including actual balance sheet data) Sample liquidity policies and contingency plans Worksheets, ratios, ...

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Overview

This book gives you the guidance and the tools you require to take control of your bank's liquidity risk. No other resource takes you from the general principles of liquidity management to the specific financial strategies and gives you the tools you need to implement them including: Specific recommendations for liquidity management Bank-specific case studies and examples (including actual balance sheet data) Sample liquidity policies and contingency plans Worksheets, ratios, formulas, and checklists

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Product Details

  • ISBN-13: 9780470821824
  • Publisher: Wiley
  • Publication date: 11/10/2006
  • Series: Wiley Finance Series , #408
  • Edition number: 1
  • Pages: 350
  • Product dimensions: 7.34 (w) x 10.26 (h) x 1.39 (d)

Meet the Author

Leonard Matz is an author, consultant, and bank trainer.  He graduated from Case Western Reserve University in Cleveland, Ohio in 1973. After spending five years with the Federal Reserve as a bank examiner, he spent 14 years in various bank management positions.  Mr. Matz is the author of numerous books as well as magazine and journal articles.  His other books include Interest Rate Risk Management and the Self Paced Guide to Asset/Liability Management Training.  He is a frequent speaker and industry conferences and training programs and has been a member of the National Asset/Liability Management Association since 1989. 

Peter Neu is an author, consultant and former banker living with his wife in Frankfurt, Germany. He graduated in 1994 with a PhD from the University of Heidelberg in Theoretical Physics. After completing a post-doctorate position at MIT, Cambridge M.A., Peter Neu joined Group Risk Control of Dresdner Bank AG in 1997. As a member of Group Strategic Risk & Treasury Control, he worked on various market and credit risk projects and was involved in building Dresdner’s economic capital model before taking over the responsibility for liquidity risk control. In 2005, Peter Neu joined the Boston Consulting Group as its European head of a risk expert team. He frequently speaks at industry conferences and training courses and has published articles on credit risk and operational risk measurement.

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Table of Contents

Acknowledgments.

About the Contributors.

1. Introduction (Peter Neu and Leonard Matz).

PART 1. MEASURING AND MONITORING LIQUIDITY RISK.

2. Liquidity Risk Measurement (Peter Neu).

3. Scenario Analysis and Stress Testing (Leonard Matz).

PART 2. MANAGING LIQUIDITY RISK.

4. Monitoring and Controlling Liquidity Risk (Leonard Matz).

5. Liquidity Risk Management Strategies and Tactics (Leonard Matz and Peter Neu).

6. Contingency Planning (Leonard Matz).

7. Market Developments in Banks’ Funding Markets (Peter Neu, Armin Leistenschneider, Bernhard Wondrak and Martin Knippschild).

PART 3. CASE STUDIES AND ALTERNATIVE VIEWS.

8. A Concept for Cash Flow and Funding Liquidity Risk (Robert Fiedler).

9. The Liquidity Impact of Derivatives Collateral (Louis D. Raffis).

10. Modeling Non-maturing Products (Martin M. Bardenhewer).

11. The Net Cash Capital Tool in Bank Liquidity Management (Louis D. Raffis).

12. Managing a Funding Crisis: Citizens First Bancorp, a case Study 1989-1994 (Bruce W. Mason).

13. Liquidity Management at UBS (Bruce Mclean Forrest).

14. Sound Liquidity Management as an Investment Criterion (Dierk Brandenburg).

PART 4. CUTTING EDGE.

15. Dynamic Mdoeling and Optimization of Non-maturing Accounts (Karl Frauendorfer and Micahel Schürle).

16. Liquidity Risk and Classical Option Pricing Theory (Robert A. Jarrow).

PART 5. CONCLUSION.

17. View from the Mountaintop (Leonard Matz and Peter Neu).

Index.

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