Managing illiquid assets : perspectives and challenges
著者
書誌事項
Managing illiquid assets : perspectives and challenges
Risk Books, a Division of Incisive Media, c2012
- : pbk
大学図書館所蔵 全1件
注記
Other editors: Vijay Krishnasway, Eric Takigawa and Michael Schouten
Statement of responsibility on cover slightly differs: Edited by Eric Takigawa ; contributing editors: Vijay Krishnaswamy, Michael Schouten and Savita Verma
Includes bibliographical references and index
内容説明・目次
内容説明
Valuation and management of illiquid assets is an ongoing concern within financial institutions, even during so-called 'normal' low volatility market conditions. When markets are volatile, going through a liquidity squeeze, or during a full blown credit crisis, the concern can quickly morph into a full time preoccupation. In this new book, the authors cover several aspects of valuation and the on-going management of illiquid assets that contribute to this preoccupation, including: Perspectives and challenges of liquidity risk management; External methods and approaches available in the literature for valuing illiquid assets; Liquidity issues relating to the US mortgage debt market; Principal regulatory responses to the financial crisis on liquidity risk management; Key themes relating to liquidity risk in the Basel III regime; A new mathematical model for incorporating a liquidity value adjustment for over the counter contracts; Risk management best practices; and The limitations of existing risk management systems with a view to the future of risk management.
By bringing together the perspective of experts and practitioners on managing these high-risk, and frequently complex, financial assets, all of the key issues related to illiquid asset valuation are explored.
目次
I. Illiquid assets - an overview Savita Verma and Michael Schouten II. A brief history of valuation Tanveer Bhatti III. Case Study: Funding and liquidity considerations in the US residential mortgage market Stefania Perrucci IV. Foundations of liquidity risk management Kuntal Sur and Kaustav Bhattacharjee V. Valuation of illiquid assets: third party sources Ian Blance VI. A model for estimating the liquidity valuation adjustment on OTC derivatives Umberto Cherubini and Sabrina Mulinacci VII. Global valuation and dynamic risk management Claudio Albanese, Guillaume Gimonet and Steve White VIII. A Regulatory Perspective on Prudent Valuation and Best Practice in Product Control Ragveer Brar IX. Beyond valuation: Basel III and its impact on illiquid assets Michael Schouten, Vijay Krishnaswamy and Garry Smith X. Model risk - or the risk of using models Vijay Krishnaswamy and Danny Dieleman XI. Stress testing in financial institutions Sunil Verma XII. Case Study: Risk governance and management practice of Hana Financial Group Joon-Hui Yoon, Eun-Sok Kim and Ki-Sik Min
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