Measuring and managing liquidity risk - Antonio Castagna



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Measuring and managing liquidity risk
Antonio Castagna
John Wiley & Sons, Inc.
UK Publication Date

A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk

Written for front and middle office risk management and quantitative practitioners, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, though thoroughly grounded in theory, the book begins with the basics of liquidity risks and, using examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book then goes on to look at tools which can be used to measure liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.

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Antonio Castagna (Milan, Italy), is Partner of ConsultingFirm Iason ltd. F.F: Head of Structured Products at Banca Profilo,Milan, Italy.
Prior to this, he was head of FX Volatilitytrading at Banca IMI and has also held positions as Interest Rateoptions trader, FX options Trader in Milan and Financial RiskAnalyst at IMI Luxemburg.
Antonio holds chartered accountantand certified public accountant qualifications and is very activeon the conference circuit and teaching at Masters level on FXtopics.
He graduated in Finance from LUISS University, Rome,in 1995 with a thesis on American options and the numericalprocedures for their valuation.

Francesco Fede (Milan, Italy), Head of Treasury at BancaIMI, Milan, Italy, one of the major European investment banks, andis also involved in redefining the liquidity policy for theIntesaSanPaolo Bank, the parent company of Banca IMI and the secondlargest Italian bank.
Previously, he has help positions asHead of the Financial Analysis Unit in IMI Banca Luxembourg, andSVP Treasury and SVP structured Bond Dealer, also at Banca IMI.

Keyword Index
Bank liquidity.|Bank liquidity - Mathematical models.|Asset-liability management.|Asset-liability management - Mathematical models.|Banks and banking - Risk management.
Country of Publication
Number of Pages
xxii, 577

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