Foundations of Liquidity Risk Management
Kuntal Sur and Kaustav Bhattacharjee
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
An elusive and formless threat, liquidity risk requires a contrast of two time periods to convince us of its obscurity and severity. First, the Greenspan period of the early 1990s until mid 2005: a period of buoyant asset markets with reducing interest rates, high leverage, underpriced risks with unidirectional upwards asset prices and tamed inflation; in sum, markets flush with liquidity with little regard to credit quality, and the “Greenspan Put”11See http://en.wikipedia.org/wiki/Greenspan_put (accessed July 2010). The Federal Reserve’s pattern of providing ample liquidity resulted in the investor perception of put protection on asset prices. leading to a hungry risk appetite by investors and the concept of risk appetite being applied very loosely. Liquidity risk was considered to be of merely academic interest, and a possible threat, not specific in nature. Fast forward to 2010, and the financial turmoil had caused 322 US banks to fail (25 in 2008, 140 in 2009 and 157 in 2010),22See the list of bank failures in the US at http://en.wikipedia.org/wiki/List
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