02870nam 2200589 450 991083080120332120140204145259.01-118-65225-81-118-81846-61-119-99066-1(CKB)4330000000002629(MiAaPQ)EBC1295023(MiAaPQ)EBC4043501(OCoLC)853363001(CaSebORM)9781119990246(EXLCZ)99433000000000262920160329h20132013 uy 0engurcn|||||||||rdacontentrdamediardacarrierMeasuring and managing liquidity risk /Antonio Castagna and Francesco Fede1st editionChichester, [England] :Wiley,2013.©2013xxii, 577 p. illWiley finance series1-299-73852-4 1-119-99024-6 Includes bibliographical references and index.pt. I. Liquidity and banking activity -- pt. II. Tools to manage liquidity risk -- pt. III. Pricing liquidity risk.A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written 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. The book is accompanied by web-based tools, including example spreadsheets to illustrate many of the more complex topics in the book.Wiley finance series.Liquidity (Economics)Bank liquidityFinancial riskRisk managementLiquidity (Economics)Bank liquidity.Financial risk.Risk management.339.53Castagna Antonio1633053Fede FrancescoMiAaPQMiAaPQMiAaPQBOOK9910830801203321Measuring and managing liquidity risk3972607UNINA