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Managing Illiquid Assets
Perspectives and Challenges
Discipline: Regulation
First published:
ISBN: 9781906348410
Illiquid assets constitute a challenging asset class with regards to their valuations and ongoing management. The significant and explicit emphasis put on the management and control of liquidity under the new and evolving regulatory regimes such as Basel III is a further testimony of this challenge.
In Managing Illiquid Assets: Perspectives and Challenges the perspectives of experts and practitioners are brought together on managing these high-risk, and frequently complex, financial assets.
Contents
Introduction to 'Managing Illiquid Assets'
A Brief History of Valuation: A Personal View
Case Study: Funding and Liquidity Considerations in the US Residential Mortgage Market
Foundations of Liquidity Risk Management
Valuation of Illiquid Assets: Third Party Sources
A Model for Estimating the Liquidity Valuation Adjustment on OTC Derivatives
Global Valuation and Dynamic Risk Management
A Regulatory Perspective on Prudent Valuation and Best Practice in Product Control
Beyond Valuation: Basel III and Its Impact on Managing Illiquid Assets
Model Risk, or the Risk of Using Models
Stress Testing in Financial Institutions
Case Study: Risk Governance and Management Practice of the Hana Financial Group