Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices

Abstract

Acknowledgments. About the Contributors. 1. Introduction (Peter Neu and Leonard Matz). PART 1. MEASURING AND MONITORING LIQUIDITY RISK. 2. Liquidity Risk Measurement (Peter Neu). 3. Scenario Analysis and Stress Testing (Leonard Matz). PART 2. MANAGING LIQUIDITY RISK. 4. Monitoring and Controlling Liquidity Risk (Leonard Matz). 5. Liquidity Risk Management Strategies and Tactics (Leonard Matz and Peter Neu). 6. Contingency Planning (Leonard Matz). 7. Market Developments in Banks' Funding Markets (Peter Neu, Armin Leistenschneider, Bernhard Wondrak and Martin Knippschild). PART 3. CASE STUDIES AND ALTERNATIVE VIEWS. 8. A Concept for Cash Flow and Funding Liquidity Risk (Robert Fiedler). 9. The Liquidity Impact of Derivatives Collateral (Louis D. Raffis). 10. Modeling Non-maturing Products (Martin M. Bardenhewer). 11. The Net Cash Capital Tool in Bank Liquidity Management (Louis D. Raffis). 12. Managing a Funding Crisis: Citizens First Bancorp, a case Study 1989-1994 (Bruce W. Mason). 13. Liquidity Management at UBS (Bruce Mclean Forrest). 14. Sound Liquidity Management as an Investment Criterion (Dierk Brandenburg). PART 4. CUTTING EDGE. 15. Dynamic Mdoeling and Optimization of Non-maturing Accounts (Karl Frauendorfer and Micahel Schurle). 16. Liquidity Risk and Classical Option Pricing Theory (Robert A. Jarrow). PART 5. CONCLUSION. 17. View from the Mountaintop (Leonard Matz and Peter Neu). Index.

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