Measuring and Managing Liquidity Risk

Antonio Castagna 지음

Wiley 2013년 09월 03일 출간

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A fully up-to-date, cutting-edge guide to the measurement and management of liquidity riskWritten 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.

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Preface xiiiAbout the authors xviiAbbreviations and acronyms xixPART I LIQUIDITY AND BANKING ACTIVITY 11 Banks as lemons? 31.1 Introduction 31.2 The first wave 41.3 Banks as lemons? 71.4 The response 91.5 The second wave 131.6 Conclusion 152 A journey into liquidity 172.1 Introduction 172.2 Central bank liquidity 182.3 Funding liquidity 192.4 Market liquidity 222.5 The virtuous circle 242.6 The vicious circle 242.8 The role of the central bank, supervision and regulation 282.9 Conclusions 313 Too big to fail 333.1 Introduction 333.2 When giants fall 343.3 A hard lesson 363.4 Closer supervision 373.5 G-SIFI regulations 393.6 The next steps 413.7 Conclusion 444 The new framework 474.1 Introduction 474.2 Some basic liquidity risk measures 484.3 The first mover 504.4 Basel III: The new framework for liquidity risk measurement and monitoring 534.4.1 The liquidity coverage ratio 554.5 Inside the liquidity coverage ratio 634.6 The other metrics 664.7 Intraday liquidity risk 694.8 Beyond the ratios 724.9 Conclusion 745 Know thyself! 755.1 Introduction 755.2 Some changes on the liabilities side 755.3 The role of leverage 795.4 The originate-to-distribute business model 825.5 The liquidity framework 845.6 Stress-testing and contingency funding plan 895.7 The CEBS identity card 955.8 Conclusions 975.9 Appendix: The CEBS Identity Card Annex (CEBS) 98PART II TOOLS TO MANAGE LIQUIDITY RISK 1096 Monitoring liquidity 1116.1 A taxonomy of cash flows 1116.2 Liquidity options 1146.3 Liquidity risk 1156.4 Quantitative liquidity risk measures 1186.4.1 The te

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저자(글) Antonio Castagna

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Antonio Castagna (Milan, Italy), is Partner of Consulting Firm Iason ltd. F.F: Head of Structured Products at Banca Profilo, Milan, Italy. Prior to this, he was head of FX Volatility trading at Banca IMI and has also held positions as Interest Rate options trader, FX options Trader in Milan and Financial Risk Analyst at IMI Luxemburg. Antonio holds chartered accountant and certified public accountant qualifications and is very active on the conference circuit and teaching at Masters level on FX topics. He graduated in Finance from LUISS University, Rome, in 1995 with a thesis on American options and the numerical procedures for their valuation.Francesco Fede (Milan, Italy), Head of Treasury at Banca IMI, Milan, Italy, one of the major European investment banks, and is also involved in redefining the liquidity policy for the IntesaSanPaolo Bank, the parent company of Banca IMI and the second largest Italian bank. Previously, he has help positions as Head of the Financial Analysis Unit in IMI Banca Luxembourg, and SVP Treasury and SVP structured Bond Dealer, also at Banca IMI.