Description
Book SynopsisLiquidity risk is a topic growing immensely in importance in risk management. It has been much neglected by financial institutions and regulators in recent years and receives, in the course of the sub-prime crisis, sudden and great attention. This book is well-structured and provides a comprehensive and systematic approach to the topic. It will help risk controllers to systematically set up a liquidity risk framework in their bank.
Peter NEU, European Risk Team Leader, The Boston Consulting Group, and co author of Liquidity Risk Measurement and Management Mr Duttweiler''s book is a welcome addition to the literature on liquidity risk measurement and management. In addition to his contributions to liquidity risk theory and liquidity pricing, the author provides a good overview of all of the critical elements.
Leonard Matz, International Solution Manager, Liquidity Risk and co-author of Liquidity Risk Measurement and Management
Liquid
Table of Contents
Foreword.
Preface.
Acknowledgements.
About the Author.
1 Liquidity and Risk: Some Basics.
1.1 Some understanding of liquidity.
1.2 The meaning of liquidity risk.
2 Liquidity in the Context of Business and Financial Policy.
2.1 Introduction.
2.2 Equilibrium as a tool within financial policy.
2.3 The concept enlarged to fit banks.
3 Liquidity as an Element of Banking Risk.
3.1 Some clarifications.
3.2 The concept of downside risk (VAR) and its circle of relationships.
3.3 LAR: liquidity risk and the missing theoretical concept.
3.4 An attempt at an integrated concept for LAR.
3.5 Summary.
4 A Policy Framework for Liquidity.
4.1 Some thoughts and considerations.
4.2 An overview of elements regarding liquidity policy.
4.3 The elements of a liquidity policy in detail.
4.4 Contingency planning.
4.5 A technical framework supporting liquidity policy.
4.6 The link to liquidity management.
5 Conceptual Considerations on Liquidity Management.
5.1 Introduction.
5.2 From accounting presentation to defining the liquidity balance sheet.
5.3 The liquidity balance sheet and liquidity flows.
6 Quantitative Aspects of Liquidity Management.
6.1 General consideration.
6.2 Liquidity at risk as one determinant of the buffers.
6.3 Defining and quantifying the buffers.
6.4 Limit-related input for liquidity policy.
6.5 Transfer pricing and an alternative concept.
7 The Concept in Practice.
7.1 Introduction.
7.2 Establishing the base.
7.3 Case 1: a shock event (9/11).
7.4 Case 2: a name-related stress (Commerzbank in autumn 2002).
7.5 ‘Subprime’ crisis: a stress in progress.
7.6 Final remarks and considerations.
8 Acting Within the Supervisory Frame.
8.1 High-level risks.
8.2 The regulatory focus set by supervisors.
8.3 Considerations and conclusions for bank management.
Bibliography.
Index.
