Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices
Banks have realized that adequate systems and processes for identifying, measuring, monitoring and controlling liquidity risks help them to maintain a strong liquidity position, which in turn will increase the confidence of investors and rating agencies as well as improve funding costs and availability.
Liquidity Risk Measurement and Management: A Practitioner’s Guide to Global Best Practices provides the best practices in tools and techniques for bank liquidity risk measurement and management. Experienced bankers and highly regarded liquidity risk experts share their insights and practical experiences in this book.
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).
Peter Neu is an author, consultant and former banker living with his wife in