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Liquidity management : a funding risk handbook / / Aldo Soprano
| Liquidity management : a funding risk handbook / / Aldo Soprano |
| Autore | Soprano Aldo |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (210 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Bank liquidity
Risk management |
| ISBN |
1-118-41398-9
1-119-08794-5 1-118-41396-2 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Liquidity Management; Contents; Acknowledgements; Introductory Note; 1 Funding and Market Liquidity; 1.1 Liquidity in the Financial Markets; 1.1.1 Definition of funding and liquidity risks; 1.2 Managing Liquidity Risk; 1.2.1 Liquidity risks framework; 1.2.2 Chief Risk Officers role; 1.3 Regulatory Frameworks; 1.3.1 Total net cash outflows; 1.3.2 Long-term funding requirements; 1.3.3 Banks funding; 1.3.4 Funding through securitization; 1.3.5 Behavioural changes of customers or investors; 1.3.6 Payment systems; 1.3.7 Correspondent and custody activities; 1.3.8 Accounting treatment and liquidity
1.3.9 Diversification of funding sources 1.3.10 Rating agency approaches to internal methodologies; 1.3.11 Transparency to the market; 1.3.12 Contingency plans; 2 Short-Term Funding; 2.1 Cash Flow Ladder; 2.1.1 Contractual cash flows; 2.1.2 Rules for mapping flows on the maturity ladder; 2.1.3 Flows without contractual certainty; 2.1.4 Unexpected cash flows; 2.1.5 Funds available for refinancing; 2.1.6 Funds transferability; 2.1.7 Total ladder calculation; 2.2 Liquidity Coverage Ratio; 2.2.1 Regulatory prescriptions; 2.2.2 Liquid assets available for refinancing 2.2.3 Total net cash outflows in the upcoming month 2.3 Liquidity Risk Indicators; 2.3.1 Using indicators; 2.3.2 Testing indicators; 2.3.3 Government bond yield curves and cross-spreads; 2.3.4 Credit default swap levels; 2.3.5 Foreign exchange cross-values; 2.3.6 Central bank refinancing; 2.3.7 Crisis indicators; 2.3.8 Risk aversion indexes; 2.4 Intraday Liquidity Risk; 2.4.1 Intraday liquidity management; 2.4.2 Cooperative mechanism; 2.4.3 Analysing the possible impact of the stressed scenario on intraday liquidity risk; 2.4.4 Haircuts to pledges; 2.4.5 Monitoring requirements 2.4.6 Structural and intraday liquidity needs 2.4.7 Payment systems liquidity saving features; 2.4.8 Intraday liquidity risk in the case of Lehman Brothers; 2.4.9 Some intraday liquidity monitoring indicators; 2.4.10 Intraday liquidity stress scenarios; 2.5 Funding Concentration; 2.5.1 Significant counterparties; 2.5.2 Significant instruments/products; 2.5.3 Significant currencies; 2.5.4 Time buckets; 2.6 Measuring Asset Liquidity; 2.6.1 Standard liquidity ratio; 2.6.2 Determining implied spread; 3 Long-Term Balance; 3.1 Structural Funding; 3.1.1 Determining the available funding 3.1.2 Required stable funding for assets 3.2 Customer Deposit Modelling; 3.2.1 Regulatory approaches on deposit stability; 3.2.2 Depositor behaviours; 3.2.3 Modelling assumptions and impacts on funding costs; 3.2.4 Dynamic regression models; 3.3 Stress Testing and Scenario Analysis; 3.3.1 Using stress testing to improve banks' own risk governance; 3.3.2 Liquidity stress testing rationale; 3.3.3 Improving controls; 3.3.4 Stress testing methodology; 3.3.5 Reverse stress testing; 3.3.6 Scenario analysis; 3.3.7 Internal capital and stress testing; 4 Liquidity Value At Risk 4.1 Market Liquidity Effects |
| Record Nr. | UNINA-9910132268803321 |
Soprano Aldo
|
||
| Chichester, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Liquidity management : a funding risk handbook / / Aldo Soprano
| Liquidity management : a funding risk handbook / / Aldo Soprano |
| Autore | Soprano Aldo |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (210 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Bank liquidity
Risk management |
| ISBN |
1-118-41398-9
1-119-08794-5 1-118-41396-2 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Liquidity Management; Contents; Acknowledgements; Introductory Note; 1 Funding and Market Liquidity; 1.1 Liquidity in the Financial Markets; 1.1.1 Definition of funding and liquidity risks; 1.2 Managing Liquidity Risk; 1.2.1 Liquidity risks framework; 1.2.2 Chief Risk Officers role; 1.3 Regulatory Frameworks; 1.3.1 Total net cash outflows; 1.3.2 Long-term funding requirements; 1.3.3 Banks funding; 1.3.4 Funding through securitization; 1.3.5 Behavioural changes of customers or investors; 1.3.6 Payment systems; 1.3.7 Correspondent and custody activities; 1.3.8 Accounting treatment and liquidity
1.3.9 Diversification of funding sources 1.3.10 Rating agency approaches to internal methodologies; 1.3.11 Transparency to the market; 1.3.12 Contingency plans; 2 Short-Term Funding; 2.1 Cash Flow Ladder; 2.1.1 Contractual cash flows; 2.1.2 Rules for mapping flows on the maturity ladder; 2.1.3 Flows without contractual certainty; 2.1.4 Unexpected cash flows; 2.1.5 Funds available for refinancing; 2.1.6 Funds transferability; 2.1.7 Total ladder calculation; 2.2 Liquidity Coverage Ratio; 2.2.1 Regulatory prescriptions; 2.2.2 Liquid assets available for refinancing 2.2.3 Total net cash outflows in the upcoming month 2.3 Liquidity Risk Indicators; 2.3.1 Using indicators; 2.3.2 Testing indicators; 2.3.3 Government bond yield curves and cross-spreads; 2.3.4 Credit default swap levels; 2.3.5 Foreign exchange cross-values; 2.3.6 Central bank refinancing; 2.3.7 Crisis indicators; 2.3.8 Risk aversion indexes; 2.4 Intraday Liquidity Risk; 2.4.1 Intraday liquidity management; 2.4.2 Cooperative mechanism; 2.4.3 Analysing the possible impact of the stressed scenario on intraday liquidity risk; 2.4.4 Haircuts to pledges; 2.4.5 Monitoring requirements 2.4.6 Structural and intraday liquidity needs 2.4.7 Payment systems liquidity saving features; 2.4.8 Intraday liquidity risk in the case of Lehman Brothers; 2.4.9 Some intraday liquidity monitoring indicators; 2.4.10 Intraday liquidity stress scenarios; 2.5 Funding Concentration; 2.5.1 Significant counterparties; 2.5.2 Significant instruments/products; 2.5.3 Significant currencies; 2.5.4 Time buckets; 2.6 Measuring Asset Liquidity; 2.6.1 Standard liquidity ratio; 2.6.2 Determining implied spread; 3 Long-Term Balance; 3.1 Structural Funding; 3.1.1 Determining the available funding 3.1.2 Required stable funding for assets 3.2 Customer Deposit Modelling; 3.2.1 Regulatory approaches on deposit stability; 3.2.2 Depositor behaviours; 3.2.3 Modelling assumptions and impacts on funding costs; 3.2.4 Dynamic regression models; 3.3 Stress Testing and Scenario Analysis; 3.3.1 Using stress testing to improve banks' own risk governance; 3.3.2 Liquidity stress testing rationale; 3.3.3 Improving controls; 3.3.4 Stress testing methodology; 3.3.5 Reverse stress testing; 3.3.6 Scenario analysis; 3.3.7 Internal capital and stress testing; 4 Liquidity Value At Risk 4.1 Market Liquidity Effects |
| Record Nr. | UNINA-9910815064103321 |
|
Soprano Aldo
|
||
| Chichester, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Measuring operational and reputational risk [[electronic resource] ] : a practitioner's approach / / Aldo Soprano ... [et al.]
| Measuring operational and reputational risk [[electronic resource] ] : a practitioner's approach / / Aldo Soprano ... [et al.] |
| Autore | Soprano Aldo |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, N.J., : Wiley, c2009 |
| Descrizione fisica | 1 online resource (227 p.) |
| Disciplina | 658.15/5072 |
| Altri autori (Persone) | SopranoAldo |
| Collana | Wiley finance series |
| Soggetto topico |
Risk management
Risk assessment Operational risk Corporate image |
| ISBN |
1-119-20877-7
1-282-93959-9 9786612939594 0-470-74211-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. The development of ORM in UniCredit group -- 2. The calculation dataset -- 3. Loss distribution approaches -- 4. Analyzing insurance policies -- 5. Managing reputational risk -- 6. Conclusions. |
| Record Nr. | UNINA-9910141050303321 |
|
Soprano Aldo
|
||
| Chichester, England ; ; Hoboken, N.J., : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Measuring operational and reputational risk [[electronic resource] ] : a practitioner's approach / / Aldo Soprano ... [et al.]
| Measuring operational and reputational risk [[electronic resource] ] : a practitioner's approach / / Aldo Soprano ... [et al.] |
| Autore | Soprano Aldo |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, N.J., : Wiley, c2009 |
| Descrizione fisica | 1 online resource (227 p.) |
| Disciplina | 658.15/5072 |
| Altri autori (Persone) | SopranoAldo |
| Collana | Wiley finance series |
| Soggetto topico |
Risk management
Risk assessment Operational risk Corporate image |
| ISBN |
1-119-20877-7
1-282-93959-9 9786612939594 0-470-74211-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. The development of ORM in UniCredit group -- 2. The calculation dataset -- 3. Loss distribution approaches -- 4. Analyzing insurance policies -- 5. Managing reputational risk -- 6. Conclusions. |
| Record Nr. | UNINA-9910812037503321 |
|
Soprano Aldo
|
||
| Chichester, England ; ; Hoboken, N.J., : Wiley, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||