This book is a practical reference which will enable senior managers within banks and other organizations to develop a business framework which takes into account liquidity risk at every level of the organization which includes liquidity risk. Liquidity risk is in the limelight as rarely before, however even recently published books on liquidity emphasize the management aspects and largely neglect a simple fact: under severe liquidity stress, a bank is challengedin many ways and on different levels. Simply focusing on liquidity managementat business unit or product level does not take these aspects into sufficientconsideration. This book addresses this by showing how the whole business must and can be protected by creating a financial policy and liquidity framework which protects the organization from liquidity risk at all levels with a top down approach. Section 1: An introduction to Liquidity Risk and interrelated risks such as solvency, interest rate risk etc. are explained and the relationship and its difference respectively discussed. Section 2: Creating a business framework which can include liquidity policy. This section also shows the interrelationship between liquidity and other aspects of the business. Section 3: Defining Liquidity policy in your organization. This section addresses limit setting, defining stressed conditions and reporting. The section concludes with the necessary elements of building a contingency plan. As banks are not easilycomparable, there will be a set of possible solutions that can be applied according to the specific circumstances of the individual bank. Section 4 : The impact of various forms of stress are shown and the liquidity balance-sheet is developed and the key risk areas are defined. Simple mathematical concepts andmodelling techniques are explained and the author then shows how to measure and quantify the risk through these techniques. Section 5: The case of Commerzbank under stress in late 2002 is presented to show the workings of a bank under real conditions of stress. The case study shows which measures and actions were successful or not and why.
- ISBN: 978-0-470-74046-0
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 304
- Fecha Publicación: 17/04/2009
- Nº Volúmenes: 1
- Idioma: Inglés