Liquidity Modeling
Liquidity Modeling

Liquidity Modeling

Comprehensive Guide to Modelling Liquidity Risk

Buch, Englisch

Autor: Dr. Robert Fiedler

Erscheinungsdatum: 2011

ISBN: 1906348464

Auflage: RiskBooks


Aufrufe gesamt: 134, letzte 30 Tage: 2

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Liquidity risk is hard to understand. It needs to be broken down into its components and drivers in order to manage and model it successfully.

The market turmoil that began in mid-2007 re-emphasised the importance of liquidity to the functioning of financial markets and the banking sector. In advance of the turmoil, asset markets were buoyant and funding was readily available at low cost. The reversal in market conditions illustrated how quickly liquidity can evaporate and that illiquidity can last for an extended period of time. Financial regulators across the globe are urging institutions to address this dimension of financial risk more comprehensively.
 

In this comprehensive guide to modelling liquidity risk, Robert Fiedler provides a coherent model which allows the reader to understand the components of illiquidity risk and how they interact and as a result enable you to build a quantitative model to display, measure and limit risk.

Liquidity Modelling is required reading for financial market practitioners who are dealing with liquidity risk and who want to understand it.


Dr. Robert Fiedler

DE, Zwingenberg

Inhaber

BNP Paribas - Frankfurt Branch

Publikationen: 6

Veranstaltungen: 2

Aufrufe seit 04/2004: 2115
Aufrufe letzte 30 Tage: 2

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