Measuring and Managing Liquidity Risk
by Francesco Fede, Antonio Castagna
Measuring and Managing Liquidity Risk
- Cover Page
- Title Page
- Copyright
- Dedication
- Contents
- Preface
- About the authors
- Abbreviations and acronyms
- Part I: Liquidity and banking activity
- 1: Banks as lemons?
- 2: A journey into liquidity
- 3: Too big to fail
- 4: The new framework
- 5: Know thyself!
- 5.1 INTRODUCTION
- 5.2 SOME CHANGES ON THE LIABILITIES SIDE
- 5.3 THE ROLE OF LEVERAGE
- 5.4 THE ORIGINATE-TO-DISTRIBUTE BUSINESS MODEL
- 5.5 THE LIQUIDITY FRAMEWORK
- 5.6 STRESS-TESTING AND CONTINGENCY FUNDING PLAN
- 5.7 THE CEBS IDENTITY CARD
- 5.8 CONCLUSIONS
- 5.9 APPENDIX: THE CEBS IDENTITY CARD ANNEX(CEBS [ 98 ])
- Part II: Tools to Manage Liquidity risk
- 6: Monitoring liquidity
- 7: Liquidity buffer and term structure of funding
- 7.1 INTRODUCTION
- 7.2 LIQUIDITY BUFFER AND COUNTERBALANCING CAPACITY
- 7.3 THE FIRST CAUSE OF THE NEED FOR A LIQUIDITY BUFFER: MATURITY MISMATCH
- 7.4 FUNDING ASSETS WITH SEVERAL LIABILITIES
- 7.5 ACTUAL SCENARIOS SEVERER THAN PREDICTED
- 7.6 THE TERM STRUCTURE OF AVAILABLE FUNDING AND THE LIQUIDITY BUFFER
- 7.7 NON-MATURING LIABILITIES
- 7.8 THE SECOND CAUSE OF THE LIQUIDITY BUFFER: COLLATERAL MARGINING
- 7.9 THE THIRD CAUSE OF THE LIQUIDITY BUFFER: OFF-BALANCE-SHEET COMMITMENTS
- 7.10 BASEL III REGULATION AND LIQUIDITY BUFFER
- 8: Models for market risk factors
- 8.1 INTRODUCTION
- 8.2 STOCK PRICES AND FX RATES
- 8.3 INTEREST RATE MODELS
- 8.4 DEFAULT PROBABILITIES AND CREDIT SPREADS
- 8.5 EXPECTED AND MINIMUM LIQUIDITY GENERATION CAPACITY OF AVAILABLE BONDS
- 8.6 FAIR HAIRCUT FOR REPO TRANSACTIONS AND COLLATERALIZED LOANS
- 8.7 ADJUSTMENTS TO THE VALUE OF ILLIQUID BONDS
- APPENDIX 8.A EXPECTATION VALUE OF THE BOND WITH SELLING PROBABILITY AND SPREAD
- 9: Behavioural models
- 9.1 INTRODUCTION
- 9.2 PREPAYMENT MODELLING
- 9.3 SIGHT DEPOSIT AND NON-MATURING LIABILITY MODELLING
- 9.4 CREDIT LINE MODELLING
- APPENDIX 9.A GENERAL DECOMPOSITION OF HEDGING SWAPS
- APPENDIX 9.B ACCURACY OF MORTGAGE RATE APPROXIMATION
- APPENDIX 9.C ACCURACY OF THE APPROXIMATED FORMULA FOR CORRELATED MORTGAGE RATE AND PREPAYMENT INTENSITY
- APPENDIX 9.D CHARACTERISTIC FUNCTION OF THE INTEGRAL
- Part III: Pricing Liquidity risk
- 10: The links between credit risk and funding cost
- 10.1 INTRODUCTION
- 10.2 THE AXIOM
- 10.3 CASH FLOW FAIR VALUES AND DISCOUNTING
- 10.4 CRITIQUE OF DEBIT VALUE ADJUSTMENT
- 10.5 DVA FOR DERIVATIVE CONTRACTS
- 10.6 EXTENSION TO POSITIVE RECOVERY AND LIQUIDITY RISK
- 10.7 DYNAMIC REPLICATION OF DVA
- 10.8 RECAPITULATION OF RESULTS
- 10.9 ACCOUNTING STANDARD AND DVA
- 10.10 DISTINCTION BETWEEN PRICE AND VALUE
- 11: Cost of liquidity and fund transfer pricing
- 11.1 INTRODUCTION
- 11.2 PRINCIPLES OF TRANSFER PRICING
- 11.3 FUNDING AND BANKING ACTIVITY
- 11.4 BUILDING A FUNDING CURVE
- 11.5 INCLUDING THE FUNDING COST IN LOAN PRICING
- 11.6 MONITORING FUNDING COSTS AND RISK CONTROL OF REFUNDING RISK
- 11.7 FUNDING COSTS AND ASSET/LIABILITY MANAGEMENT
- 11.8 INTERNAL FUND TRANSFER PRICING SYSTEM
- 11.9 BEST PRACTICES AND REGULATION
- 12: Liquidity risk and the cost of funding in derivative contracts
- 13: A sort of conclusion: towards a new treasury?
- 10: The links between credit risk and funding cost
- References
- Index
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