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010 _a 2009011960
020 _a9780470740460 :
_c75.00
020 _a0470740469 :
_c75.00
050 0 0 _aHG1656.A3
_bD88 2009
090 _aHG 1656 .A3 D88 2009
100 1 _aDuttweiler, Rudolf.
_9149001
245 1 0 _aManaging liquidity in banks :
_ba top down approach /
_cRudolf Duttweiler.
260 _aChichester, U.K. :
_bJohn Wiley & Sons,
_cc2009.
300 _axiii, 286 p. :
_bill. ;
_c25 cm.
336 _2rdacontent
_atext
_btxt
337 _2rdamedia
_aunmediated
_bn
338 _2rdacarrier
_avolume
_bnc
504 _aIncludes bibliographical references (p. [267]-270) and index.
505 0 _a1 Liquidity and Risk: Some Basics. 1.1 Some understanding of liquidity. 1.2 The meaning of liquidity risk. 2 Liquidity in the Context of Business and Financial Policy. 2.1 Introduction. 2.2 Equilibrium as a tool within financial policy. 2.3 The concept enlarged to fit banks. 3 Liquidity as an Element of Banking Risk. 3.1 Some clarifications. 3.2 The concept of downside risk (VAR) and its circle of relationships. 3.3 LAR: liquidity risk and the missing theoretical concept. 3.4 An attempt at an integrated concept for LAR. 3.5 Summary. 4 A Policy Framework for Liquidity. 4.1 Some thoughts and considerations. 4.2 An overview of elements regarding liquidity policy. 4.3 The elements of a liquidity policy in detail. 4.4 Contingency planning. 4.5 A technical framework supporting liquidity policy. 4.6 The link to liquidity management. 5 Conceptual Considerations on Liquidity Management. 5.1 Introduction. 5.2 From accounting presentation to defining the liquidity balance sheet. 5.3 The liquidity balance sheet and liquidity flows. 6 Quantitative Aspects of Liquidity Management. 6.1 General consideration. 6.2 Liquidity at risk as one determinant of the buffers. 6.3 Defining and quantifying the buffers. 6.4 Limit-related input for liquidity policy. 6.5 Transfer pricing and an alternative concept. 7 The Concept in Practice. 7.1 Introduction. 7.2 Establishing the base. 7.3 Case 1: a shock event (9/11). 7.4 Case 2: a name-related stress (Commerzbank in autumn 2002). 7.5 'Subprime' crisis: a stress in progress. 7.6 Final remarks and considerations. 8 Acting Within the Supervisory Frame. 8.1 High-level risks. 8.2 The regulatory focus set by supervisors. 8.3 Considerations and conclusions for bank management.
650 0 _aBank liquidity.
_9149002
650 0 _aBank management.
_9149003
650 0 _aBanks and banking
_xRisk management.
_9149004
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