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Liquidity Modelling
Discipline: Investing, Credit
First published:
ISBN: 9781906348465
The global financial crisis showed the crippling effect poor liquidity risk management can have on markets and on firms.
In its wake, market practitioners and regulators alike recognise the necessity of effective management of liquidity and assessment of risks. Yet liquidity remains fuzzy even at a conceptual level, and liquidity risk management an emerging discipline.
Liquidity Modelling by Robert Fiedler is a guide on how to model and manage liquidity risk for financial market practitioners.
Contents
Introduction to 'Liquidity Modelling'
Setting the Scene: Why Liquidity Is Important in a Bank
What Is Liquidity Risk?
Illiquidity Risk: The Foundations of Modelling
Capturing Uncertainties
A Template for an Illiquidity Risk Solution
The Counterbalancing Capacity
Intra-Day Liquidity Risk
Liquidity Transfer Pricing and Limits
The Basel III Banking Regulation