Essays On Risk Assumption And Liquidity Management
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Liquidity Risk Management
| Author | : Shyam Venkat |
| Publisher | : John Wiley & Sons |
| Total Pages | : 289 |
| Release | : 2016-03-03 |
| Genre | : Business & Economics |
| ISBN | : 1118918789 |
The most up-to-date, comprehensive guide on liquidity risk management—from the professionals Written by a team of industry leaders from the Price Waterhouse Coopers Financial Services Regulatory Practice, Liquidity Risk Management is the first book of its kind to pull back the curtain on a global approach to liquidity risk management in the post-financial crisis. Now, as a number of regulatory initiatives emerge, this timely and informative book explores the real-world implications of risk management practices in today's market. Taking a clear and focused approach to the operational and financial obligations of liquidity risk management, the book builds upon a foundational knowledge of banking and capital markets and explores in-depth the key aspects of the subject, including governance, regulatory developments, analytical frameworks, reporting, strategic implications, and more. The book also addresses management practices that are particularly insightful to liquidity risk management practitioners and managers in numerous areas of banking organizations. Each chapter is authored by a Price Waterhouse Coopers partner or director who has significant, hands-on expertise Content addresses key areas of the subject, such as liquidity stress testing and information reporting Several chapters are devoted to Basel III and its implications for bank liquidity risk management and business strategy Includes a dedicated, current, and all-inclusive look at liquidity risk management Complemented with hands-on insight from the field's leading authorities on the subject, Liquidity Risk Management is essential reading for practitioners and managers within banking organizations looking for the most current information on liquidity risk management.
Liquidity Risk Measurement and Management
| Author | : Leonard Matz |
| Publisher | : Xlibris Corporation |
| Total Pages | : 400 |
| Release | : 2011-07-20 |
| Genre | : Business & Economics |
| ISBN | : 1462892450 |
Villains for the Great Meltdown of 2007-2008 seem plentiful. But the very concept of finding and punishing villains misses the target. Ideally, we learn from past failures. We perfect our craft. Lessons to be learned from the Great Meltdown are not just plentiful - they are also insightful. In LIQUIDITY RISK MEASUREMENT AND MANAGENT -- BASEL III AND BEYOND, Mr. Matz provides detailed, practical analysis and recommendations covering every aspect of liquidity risk measurement and management. * Examples of what went wrong are used extensively. * Best practices procedures are explained. * New regulatory guidance - both qualitative and quantitative, including Basel III - is discussed in detail.* Source material and examples from many countries are included.This is the "how to guide" for liquidity risk managers in financial institutions around the globe.
Essays on Risk Management and Financial Stability
| Author | : Saifeddine Ben Hadj |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
We first investigate the computational complexity for estimating quantile based risk measures, such as the widespread Value at Risk for banks and Solvency II capital requirements for insurance companies, via nested Monte Carlo simulations. The estimator is a conditional expectation type estimate where two stage simulations are required to evaluate the risk measure: an outer simulation is used to generate risk factor scenarios that govern price movements and an inner simulation is used to evaluate the future portfolio value based on each of those scenarios. The second essay considers the financial stability from a macro perspective. Measuring negative externalities of banks is a major challenge for financial regulators. We propose a new risk management approach to enhance the financial stability and to increase the fairness of financial transactions. The basic idea is that a bank should assume as much risk as it creates. Any imbalance in the tails of the distribution of profit and losses is a sign of the bank's failure to internalize its externalities or the social costs associated with its activities. The aim of the third essay is to find a theoretical justification toward the mutual benefits for members of a bonking union in the context of a strategic interaction model. We use a unique contagion dynamic that marries the rich literature of game theory, contagion in pandemic crisis and the study of collaboration between regulators. The model is focused toward regulating asset classes, not individual banks. This special design addresses moral hazard issues that could result from government intervention in the case of crisis.
Liquidity Risk Measurement and Management
| Author | : Leonard Matz |
| Publisher | : John Wiley & Sons |
| Total Pages | : 413 |
| Release | : 2006-11-10 |
| Genre | : Business & Economics |
| ISBN | : 0470821825 |
Major events such as the Asian crisis in 1997, the Russian default on short-term debt in 1998, the downfall of the hedge fund long-term capital management in 1998 and the disruption in payment systems following the World Trade Center attack in 2001, all resulted in increased management’s attention to liquidity risk. Banks have realized that adequate systems and processes for identifying, measuring, monitoring and controlling liquidity risks help them to maintain a strong liquidity position, which in turn will increase the confidence of investors and rating agencies as well as improve funding costs and availability. Liquidity Risk Measurement and Management: A Practitioner’s Guide to Global Best Practices provides the best practices in tools and techniques for bank liquidity risk measurement and management. Experienced bankers and highly regarded liquidity risk experts share their insights and practical experiences in this book.
Essays on Liquidity and Risk Management
| Author | : Mingxin Li |
| Publisher | : |
| Total Pages | : 96 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
This thesis consists of three independent essays on stock liquidity, corporate cash holdings, and financial institution earnings risk. The first study examines the relationship between stock liquidity and the difference in domestic and foreign market prices for a sample of 650 international firms cross-listed on a U.S. stock exchange. The study exploits the 2001 change to decimalization pricing and the 2003 U.S. dividend tax cut as quasi-natural experiments and finds that ADR liquidity decreases the absolute value of the ADR premium. The paper documents a positive relationship between liquidity and price discovery as well as a liquidity effect on the price convergence between the ADRs and their underlying shares. The second study focuses on corporate cash holdings as a mechanism of risk management. The paper documents a diversification effect on cash for a large sample of international firms, and examines the impact of agency costs, financial constraints and product market competition on the relationship between diversification and cash holdings. The results show that weak product market competition can weaken or even reverse the negative diversification effect on cash holdings. Weak country-level shareholder protection helps explain the weak diversification effect to a smaller degree, whereas financial constraints strengthen the diversification effect. Further, the competition effect is stronger for innovative, high R&D intensity firms and for firms with high uncertainty of sales and productivity growth. The third study analyzes the impact of deposit insurance design on the earnings uncertainty of financial cooperatives. The 2008 amendment to the Financial Institutions Act in the province of British Columbia resulted in an economically and statistically significant decrease in the credit unions' earnings uncertainties. The policy spurred deposit growth, but instead of an increase in lending, credit unions grew their capital-to-asset ratio. The results support the hypothesis that an unlimited insurance coverage boosts depositors' confidence and increases the flow of funds to the insured cooperatives. The paper does not find support for the moral hazard hypothesis where full deposit insurance increases risk-taking and creates liquidity risk by attracting wholesale funds.
