Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices (Wiley Finance) [Hardcover]

Leonard Matz (Editor), Peter Neu (Editor)

Book Description

ISBN-10: 0470821825 | ISBN-13: 978-0470821824 | Publication Date: November 10, 2006 | Edition: 1

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.

Editorial Reviews

From the Inside Flap

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. Best practices such as day-to-day funding management to worst case contingency planning are presented from multiple points of view. Ideas from innovative liquidity risk managers for robust stress testing, liquidity transfer pricing and contingency planning are combined, organized and clearly described.

Whether you are contributing to a higher rating and lower cost of funds, more efficient risk management or a better relationship with the bank’s regulators, this book will serve as a comprehensive guide to best practices in liquidity risk management.

From the Back Cover

"Liquidity risk is an equal part of the holy trinity of risks, the other two being market and credit risks. It is the least understood of the three and as a result, investors are missing out on an important dimension of risk, diversification and hedging.  This valuable book fills the gaps on a much neglected subject and provides a refreshing perspective to it."
—Avinash D. Persaud
President, Intelligence Capital Limited

"Liquidity risk is rapidly moving up the agenda, both within financial institutions as well as in the supervisory community, and the timing of this book could not be better. This book is well-structured and comprehensive in its coverage. It is written by highly experienced and respected professionals and is an important source for anyone who wants to understand liquidity risk."
—Chris Matten
Partner, Financial Services Industry Practice PricewaterhouseCoopers

"Liquidity risk management is in many ways the poor relation of risks but the one that is suddenly receiving a great deal of attention from global regulators. This book certainly fills a long overdue gap with regard to published material and is required reading for liquidity risk practitioners"
—Richard Pattinson
Senior Director, Barclays Treasury
Barclays Bank PLC

See all Editorial Reviews

Product Details

• Hardcover: 350 pages
• Publisher: Wiley; 1 edition (November 10, 2006)
• Language: English
• ISBN-10: 0470821825
• ISBN-13: 978-0470821824
• Product Dimensions: 10.4 x 7.2 x 1.3 inches
• Shipping Weight: 2.4 pounds (View shipping rates and policies)
• Average Customer Review: 4.7 out of 5 stars  See all reviews (3 customer reviews)
• Amazon Best Sellers Rank: #928,838 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

2 of 2 people found the following review helpful:

5.0 out of 5 stars A good handbook for Liquidity Risk Management, September 5, 2009

By 

A. Paul "Kozhipatt" (New York, New York United States) - See all my reviews
(REAL NAME)   

This review is from: Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices (Wiley Finance) (Hardcover)

A good handbook, written by an industry practitioner, that makes a lot of difference. I found it helpful to develop a multi level view of liquidity within the various classes of banks, like large, small regional, and complex banking entities. This lays out a framework for a ALCO, Limit monitoring driven from data collected in various formats, trying to address complex issues like non-maturing product maturities.
I would recommend for the serious Treasury professional, it is an expensive purchase.

1 of 1 people found the following review helpful:

4.0 out of 5 stars By practitioners for practitioners, December 18, 2009

By 

LJ Haasbroek (Johannesburg, Gauteng South Africa) - See all my reviews
(REAL NAME)   

Amazon Verified Purchase

This review is from: Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices (Wiley Finance) (Hardcover)

This book is a collection of a series of articles on banking funding liquidity risk. These articles are written by different practitioners including a few by editors Matz and Neu. This compilation-like format causes the flow through the book to be somewhat disruptive making it a difficult read end-to-end. As a result it is best used as a reference guide. This is not necessarily a bad thing as the book is a true treasure of funding liquidity related topics that one will need to reference from time to time.

It covers topics such as liquidity management governance and control aspects, liquidity MIS, planning, stress testing, early warning indicators and funding contingency planning, projecting cash flows for different product types including non-maturing cash flows, impact of collateral and credit risk, liquidity-at-risk measures and some case studies. A bonus is the long list of liquidity-related article references throughout that one can source to deepen knowledge on specific topics.

Let's face it, there are not many books around focussing on funding liquidity risk - if you are involved with banking funding liquidity management, this book needs to be on your bookshelf.

3 of 4 people found the following review helpful:

5.0 out of 5 stars Must read for bankers and non-bankers alike, December 9, 2006

By 

Fred Poorman Jr. (USA) - See all my reviews
(REAL NAME)   

This review is from: Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices (Wiley Finance) (Hardcover)

Mr. Matz and Mr. Neu provide insights into liquidity planning and management that are of value to bankers and non-bankers alike. While there is sufficient theory to intrigue the conceptual crowd, the book excels at providing "real world" examples and solutions. Non-bankers should strongly consider this book as well:
* bank "best practices" can be adapted and/or adopted for other financial institutions, as well as general corporates
* bank liquidity and illiquidity influences the broader economy.

If you only read one liquidity book in the marketplace, this is the one.