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Castagna , Antonio

Fede , Francesco

Measuring and managing liquidity risk , Antonio Castagna and Francesco Fede

Chichester (U.K.) , Wiley -- cop. 2013

1 Vol. (xxii-577 p.) ; 24 cm

978-1-119-99024-6 , rel.

Biblio. p. [547]-551. Index

Liquidity risk has become as important in running the banking business as credit and market risks.Increased systemic and firm specific factors not only make liquidity management and the funding activity more difficult, but add a new dimension to the problem. In the past liquidity risk referred almost uniquely to the inability of the bank to cover cash outflows, but nowadays it also costs banks heavily to pay for liquidity. This book apply and adapt the stochastic modelling developed for derivatives pricing to the measuring and managing liquidity risk in a consistent and sound way. (4e de couv.)

Liquidité (économie politique)

Gestion du risque -- Modèles mathématiques

Liquidity (Economics)

Banks and banking.

Risk management -- Mathematical models

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