Structural Liquidity Planning and Optimal Hedging Portfolios
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
Liquidity risk
FRM Handbook Ch 26: Liquidity Risk
Book: Financial Risk Manager Handbook Plus Test Bank
Author: Philippe Jorion
ISBN: 978-0-470-90401-5
You can be solvent on paper and still die in a week. That is the core lesson of Chapter 26. Liquidity risk does not show up in a standard VaR number. It shows up when counterparties refuse to roll funding, when depositors line up at the door, and when the only way to raise cash is to sell assets into a market that has stopped buying.
Hedging Liquidity Exposure With Contingency Buffers
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
Building Liquidity Exposure From Balance Sheet Cash Flows
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
How Banks Measure Liquidity Risk With Cash Flow Models
Book: Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk Authors: Jimmy Skoglund & Wei Chen ISBN: 978-1-119-13551-7
VaR Time Scaling and Market Liquidity Risk
Financial Risk Management by Jimmy Skoglund and Wei Chen (ISBN 978-1-119-13551-7)
Your desk reports 1-day VaR. Regulators want 10-day VaR. Someone multiplies by √10 and calls it a day. Skoglund and Chen explain why that shortcut fails, and why how you exit a book matters as much as how you model it.