Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices
Major events such as the Asian crisis in 1997, the Russian default on short-term debt in 1998, the downfall of the hedge fund long-term capital management in 1998 and the disruption in payment systems following the World Trade Center attack in 2001, all resulted in increased management’s attention to liquidity risk.Banks have realized that adequate systems and processes for identifying, measuring, monitoring and controlling liquidity risks help them to maintain a strong liquidity position, which in turn will increase the confidence of investors and rating agencies as well as improve funding costs and availability.Liquidity Risk Measurement and Management: A Practitioner’s Guide to Global Best Practicesprovides the best practices in tools and techniques for bank liquidity risk measurement and management. Experienced bankers and highly regarded liquidity risk experts share their insights and practical experiences in this book. Best practices such as day-to-day funding management to worst case contingency planning are presented from multiple points of view. Ideas from innovative liquidity risk managers for robust stress testing, liquidity transfer pricing and contingency planning are combined, organized and clearly described.Whether you are contributing to a higher rating and lower cost of funds, more efficient risk management or a better relationship with the bank’s regulators, this book will serve as a comprehensive guide to best practices in liquidity risk management.