Measuring and managing liquidity risk / (Record no. 20714)

MARC details
000 -LEADER
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001 - CONTROL NUMBER
control field ocn853363001
003 - CONTROL NUMBER IDENTIFIER
control field OCoLC
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20230823095217.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field m o d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr cnu---unuuu
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 130720s2013 enk ob 001 0 eng d
040 ## - CATALOGING SOURCE
Original cataloging agency EBLCP
Language of cataloging eng
Description conventions pn
Transcribing agency EBLCP
Modifying agency N$T
-- IDEBK
-- DG1
-- CUS
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-- OCLCO
-- DEBSZ
-- B24X7
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-- OCLCQ
-- LOA
019 ## -
-- 857078246
-- 865020974
-- 869833443
-- 961649858
-- 962642960
-- 966261439
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9781118652251
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 1118652258
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9781118818466
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 1118818466
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 1299738524
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9781299738522
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 1119990246
Qualifying information (hardback)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
ISBN 9781119990246
Qualifying information (hardback)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Cancelled/invalid ISBN 9781119990246
Qualifying information (hardback)
029 1# - (OCLC)
OCLC library identifier AU@
System control number 000052185319
029 1# - (OCLC)
OCLC library identifier AU@
System control number 000053042244
029 1# - (OCLC)
OCLC library identifier CHNEW
System control number 000641367
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV041291933
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV041573295
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV041904847
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 397585772
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 423188852
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 449371417
029 1# - (OCLC)
OCLC library identifier DKDLA
System control number 820120-katalog:000664716
029 1# - (OCLC)
OCLC library identifier NZ1
System control number 15341889
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV043396094
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)853363001
Canceled/invalid control number (OCoLC)857078246
-- (OCoLC)865020974
-- (OCoLC)869833443
-- (OCoLC)961649858
-- (OCoLC)962642960
-- (OCoLC)966261439
037 ## - SOURCE OF ACQUISITION
Stock number CL0500000375
Source of stock number/acquisition Safari Books Online
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HG178
072 #7 - SUBJECT CATEGORY CODE
Subject category code BUS
Subject category code subdivision 027000
Source bisacsh
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332
Edition number 23
049 ## - LOCAL HOLDINGS (OCLC)
Holding library MAIN
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Castagna, Antonio.
245 10 - TITLE STATEMENT
Title Measuring and managing liquidity risk /
Statement of responsibility, etc Antonio Castagna and Francesco Fede.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Chichester, West Sussex, U.K. :
Name of publisher, distributor, etc Wiley,
Date of publication, distribution, etc 2013.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (xxii, 577 pages).
336 ## -
-- text
-- txt
-- rdacontent
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-- computer
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-- rdamedia
338 ## -
-- online resource
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-- rdacarrier
490 1# - SERIES STATEMENT
Series statement The Wiley finance series
588 0# -
-- Online resource; title from PDF title page (Wiley, viewed September 12, 2013).
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note Measuring and Managing Liquidity Risk; Contents; Preface; About the authors; Abbreviations and acronyms; PART I LIQUIDITY AND BANKING ACTIVITY; 1 Banks as lemons?; 1.1 Introduction; 1.2 The first wave; 1.3 Banks as lemons?; 1.4 The response; 1.5 The second wave; 1.6 Conclusion; 2 A journey into liquidity; 2.1 Introduction; 2.2 Central bank liquidity; 2.3 Funding liquidity; 2.4 Market liquidity; 2.5 The virtuous circle; 2.6 The vicious circle; 2.8 The role of the central bank, supervision and regulation; 2.9 Conclusions; 3 Too big to fail; 3.1 Introduction; 3.2 When giants fall.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 3.3 A hard lesson3.4 Closer supervision; 3.5 G-SIFI regulations; 3.6 The next steps; 3.7 Conclusion; 4 The new framework; 4.1 Introduction; 4.2 Some basic liquidity risk measures; 4.3 The first mover; 4.4 Basel III: The new framework for liquidity risk measurement and monitoring; 4.4.1 The liquidity coverage ratio; 4.5 Inside the liquidity coverage ratio; 4.6 The other metrics; 4.7 Intraday liquidity risk; 4.8 Beyond the ratios; 4.9 Conclusion; 5 Know thyself!; 5.1 Introduction; 5.2 Some changes on the liabilities side; 5.3 The role of leverage; 5.4 The originate-to-distribute business model.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 5.5 The liquidity framework5.6 Stress-testing and contingency funding plan; 5.7 The CEBS identity card; 5.8 Conclusions; 5.9 Appendix: The CEBS Identity Card Annex (CEBS); PART II TOOLS TO MANAGE LIQUIDITY RISK; 6 Monitoring liquidity; 6.1 A taxonomy of cash flows; 6.2 Liquidity options; 6.3 Liquidity risk; 6.4 Quantitative liquidity risk measures; 6.4.1 The term structure of expected cash flows and the term structure of expected cumulated cash flows; 6.4.2 Liquidity generation capacity; 6.4.3 The term structure of available assets; 6.5 The term structure of expected liquidity.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 6.6 Cash flows at risk and the term structure of liquidity at risk7 Liquidity buffer and term structure of funding; 7.1 Introduction; 7.2 Liquidity buffer and counterbalancing capacity; 7.3 The first cause of the need for a liquidity buffer: Maturity mismatch; 7.3.1 Some or all stressed scenarios do not occur; 7.3.2 The cost of the liquidity buffer for maturity mismatch; 7.3.3 Liquidity buffer costs when stressed scenarios do not occur; 7.3.4 A more general formula for liquidity buffer costs; 7.4 Funding assets with several liabilities; 7.5 Actual scenarios severer than predicted.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 7.6 The term structure of available funding and the liquidity buffer7.6.1 The term structure of forward cumulated funding and how to use it; 7.7 Non-maturing liabilities; 7.7.1 Pricing of NML and cost of the liquidity buffer; 7.8 The second cause of the liquidity buffer: Collateral margining; 7.8.1 A method to set the liquidity buffer for derivative collateral; 7.8.2 The cost of the liquidity buffer for derivative collateral; 7.9 The third cause of the liquidity buffer: Off-balance-sheet commitments; 7.10 Basel III regulation and liquidity buffer; 8 Models for market risk factors.
500 ## - GENERAL NOTE
General note 8.1 Introduction.
520 ## - SUMMARY, ETC.
Summary, etc This is 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, it provides the ground-level knowledge, tools and techniques for effective liquidity risk management. Written with a highly practical cut, 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 l.
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc Includes bibliographical references and index.
526 ## - STUDY PROGRAM INFORMATION NOTE
Department Finance
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Liquidity (Economics)
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Financial risk.
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element BUSINESS & ECONOMICS
General subdivision Finance.
Source of heading or term bisacsh
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Financial risk.
Source of heading or term fast
-- (OCoLC)fst01739663
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Liquidity (Economics)
Source of heading or term fast
-- (OCoLC)fst00999682
655 #4 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
655 #7 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
Source of term local
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Fede, Francesco.
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Display text Print version:
Main entry heading Antonio Castagna.
Title Measuring and managing liquidity risk.
Place, publisher, and date of publication Chichester, West Sussex, U.K. : Wiley, 2013
International Standard Book Number 1119990246
Record control number (OCoLC)849498280
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Wiley finance series.
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="http://dx.doi.org/10.1002/9781118818466">http://dx.doi.org/10.1002/9781118818466</a>
Public note Wiley Online Library
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-- 92
-- DG1

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