Liquidity modelling

Incluye índice.

Contenido: 1 Introduction What is this book about? Illiquidity risk: a risk type of its own? Measuring illiquidity risk: what is the problem? Comparing the measurement of liquidity and other risks What is covered by this book? 2 Setting the Scene: Why Liquidity Is Important in a Bank Banks, financial transactions and balance sheets Income, expense and earnings The time value of payments Capital Value, risk and capital Conclusions 3 What Is Liquidity Risk? Illiquidity Insolvency and illiquidity Liquidity risk of financial instruments and markets Liquidity of markets for central bank funds Liquidity-induced value risk Capital as a buffer for liquidity risk? Conclusions 4 Illiquidity Risk: The Foundations of Modelling Describing the bank's balance sheet Measuring illiquidity risk Conclusion 5 Capturing Uncertainties Stationary modelling Dynamic modelling and hypothetical transactions The role of optionality Modelling optionality Conclusions 6 A Template for an Illiquidity Risk Solution Scenarios Technical implementation Inventories and flows Inventories and flows of transactions Taxonometry Conclusion 7 The Counterbalancing Capacity Liquidity risk requirements CBC: The problem FLE and CBC Building blocks of a technical solution Solving the problem for classes of securities Further issues regarding the CBC Conclusions 8 Intra-Day Liquidity Risk Liquidity risk and intra-day liquidity risk The measurement of liquidity risk The payment process Measurement of ILR within an enhanced FLE or separately? ILRS that could be measured with an enhanced FLE ILRS that go beyond the enhanced FLE Other issues Risks related to correspondent banks Idiosyncratic risks of the payment processes Mitigation of liquidity risks Conclusion 9 Liquidity Transfer Pricing and Limits Basic transfer-pricing concepts Deterministic costs of the replicating transaction Transfer pricing of risk Summary of the pricing components Liquidity risk limits Regulatory requirements Conclusions.