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Liquidity Risk Measurement and Management [2006]

1
Introduction
13
Liquidity Risk Measurement
37
Scenario Analysis and Stress Testing
65
Monitoring and Controlling Liquidity Risk
100
Liquidity Risk Management Strategies and Tactics
121
Contingency Planning
146
Market Developments in Banks' Funding Markets
171
A Concept for Cash Flow and Funding Liquidity Risk
204
The Liquidity Impact of Derivatives Collateral
220
Modeling Non‐maturing Products
257
The Net Cash Capital Tool in Bank Liquidity Management
268
Managing a Funding Crisis: Citizens First Bancorp, a Case Study 1989–1994
293
Liquidity Management at UBS
310
Sound Liquidity Management as an Investment Criterion
325
Dynamic Modeling and Optimization of Non‐maturing Accounts
360
Liquidity Risk and Classical Option Pricing Theory
377
View from the Mountaintop
391
Index
i
Front Matter
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