Measuring and Managing Liquidity Risk
Castagna, Antonio; Fede, Francesco
Language: English
Published by Wiley, 2013
- Hardcover
- Used
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- Title
- Measuring and Managing Liquidity Risk
- Author
- Castagna, Antonio; Fede, Francesco
- Publisher
- Wiley
- Publication year
- 2013
- Condition
- As New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 1119990246
- ISBN 13
- 9781119990246
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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About the Author
About the authors
ANTONIO CASTAGNA is currently partner and co-founder of the consulting company Iason Ltd, focusing on the design of models to price complex derivatives and to measure financial, liquidity and credit risks. Previously he was with Banca IMI Milan, from 1999 to 2006, where he first worked as a market maker of cap/floors and swaptions and then set up the FX options market-making desk. He started his carrier in 1997 at IMI Bank Luxembourg, in the Risk Control Department. He graduated in Finance at LUISS University in Rome in 1995. He has written papers on different issues, including credit derivatives, managing exotic options risks and volatility smiles, and is also the author of FX Options and Smile Risk, John Wiley & Sons.
FRANCESCO FEDE is a graduate of the LUISS University of Rome. From 1996 he worked for IMI Bank Lux as financial controller and risk manager. In 1998 he moved to Banca IMI Milan, where he started his career as a short-term interest derivative trader in 2001. Since then, he has covered many tasks in Treasury and ALM activities. Currently he is head of the Market Treasury desk of Banca IMI. Over the last couple of years he has focused on the pricing of liquidity risk for structured loans and derivative products, as well as the impact of liquidity risk on both trading and banking books.
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