Liquidity modelling

by Fiedler, Robert

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Title Statements

Full title :Liquidity modelling / by Robert Fiedler.

Summary

Liquidity risk is hard to understand. It needs to be broken down into its components and drivers in order to manage and model it successfully. The market turmoil that began in mid-2007 re-emphasised the importance of liquidity to the functioning of financial markets and the banking sector. In advance of the turmoil, asset markets were buoyant and funding was readily available at low cost. The reversal in market conditions illustrated how quickly liquidity can evaporate and that illiquidity can last for an extended period of time. Financial regulators across the globe, are urging institutions to address this dimension of financial risk more comprehensively. In this guide to modelling liquidity risk, Robert Fiedler provides a coherent model which allows the reader to understand the components of illiquidity risk and how they interact and as a result enable you to build a quantitative model to display, measure and limit risk.

Edition Statements

Publication Date:2012.
Edition:Repr. with corrections

Publication Statements

Publisher(s):Risk Books
Place of Publication:London
Language:eng
Publication Date:2012.

Notes

Includes index.

The Physical Object

Description:XIV, 290 Seiten : : Diagramme

Edition Identifiers

oclc:ocn835693904

Subjects

Bank Bank -- gnd Bank liquidity Bank liquidity -- Econometric models Cash Management -- gnd Liquiditätsrisiko Risikomanagement -- gnd Risk management -- Econometric models