Due to the current credit crisis, liquidity is at the top of a bank s agenda. Under severe liquidity stress, a bank is challenged in many ways and on different levels, and simply focusing on liquidity management at the business unit or product level does not address the problem. Here is a practical reference that details how the whole business can be protected by creating a financial policy and liquidity framework that protects the organization from liquidity risk at all levels with a top-down approach. The book includes the case of Commerzbank, under stress in late 2002, and shows which measures and actions were successful or not and why.…mehr
Due to the current credit crisis, liquidity is at the top of a bank s agenda. Under severe liquidity stress, a bank is challenged in many ways and on different levels, and simply focusing on liquidity management at the business unit or product level does not address the problem. Here is a practical reference that details how the whole business can be protected by creating a financial policy and liquidity framework that protects the organization from liquidity risk at all levels with a top-down approach. The book includes the case of Commerzbank, under stress in late 2002, and shows which measures and actions were successful or not and why.
Rudolf Duttweiler is an economist. He gained his Ph.D. from the University of St Gallen, Switzerland. Liquidity has played an important part in his professional life. His first practical experience in banking was gained in Zurich and London as Treasurer of Swiss Bank corporation (now UBS) and Credit Suisse. From 1993 until 2006 he headed the Group Treasury of Commerzbank at their Headquarters in Frankfurt. This was the formative period during which his comprehensive understanding of liquidity policy and concepts to manage liquidity were developed. Throughout his professional life he has continued to publish and lecture on market and liquidity related subjects. His last publication in 2008 refers to liquidity as part of banking related financial policy, and laid the basis for the integration of liquidity into the framework of business policy for banking. Mr Duttweiler is a lecturer on Bank Treasury Management at the University of St Gallen, Switzerland.
Inhaltsangabe
Foreword. Preface. Acknowledgements. About the Author. 1 Liquidity and Risk: Some Basics. 1.1 Some understanding of liquidity. 1.2 The meaning of liquidity risk. 2 Liquidity in the Context of Business and Financial Policy. 2.1 Introduction. 2.2 Equilibrium as a tool within financial policy. 2.3 The concept enlarged to fit banks. 3 Liquidity as an Element of Banking Risk. 3.1 Some clarifications. 3.2 The concept of downside risk (VAR) and its circle of relationships. 3.3 LAR: liquidity risk and the missing theoretical concept. 3.4 An attempt at an integrated concept for LAR. 3.5 Summary. 4 A Policy Framework for Liquidity. 4.1 Some thoughts and considerations. 4.2 An overview of elements regarding liquidity policy. 4.3 The elements of a liquidity policy in detail. 4.4 Contingency planning. 4.5 A technical framework supporting liquidity policy. 4.6 The link to liquidity management. 5 Conceptual Considerations on Liquidity Management. 5.1 Introduction. 5.2 From accounting presentation to defining the liquidity balance sheet. 5.3 The liquidity balance sheet and liquidity flows. 6 Quantitative Aspects of Liquidity Management. 6.1 General consideration. 6.2 Liquidity at risk as one determinant of the buffers. 6.3 Defining and quantifying the buffers. 6.4 Limit-related input for liquidity policy. 6.5 Transfer pricing and an alternative concept. 7 The Concept in Practice. 7.1 Introduction. 7.2 Establishing the base. 7.3 Case 1: a shock event (9/11). 7.4 Case 2: a name-related stress (Commerzbank in autumn 2002). 7.5 'Subprime' crisis: a stress in progress. 7.6 Final remarks and considerations. 8 Acting Within the Supervisory Frame. 8.1 High-level risks. 8.2 The regulatory focus set by supervisors. 8.3 Considerations and conclusions for bank management. Bibliography. Index.
Foreword. Preface. Acknowledgements. About the Author. 1 Liquidity and Risk: Some Basics. 1.1 Some understanding of liquidity. 1.2 The meaning of liquidity risk. 2 Liquidity in the Context of Business and Financial Policy. 2.1 Introduction. 2.2 Equilibrium as a tool within financial policy. 2.3 The concept enlarged to fit banks. 3 Liquidity as an Element of Banking Risk. 3.1 Some clarifications. 3.2 The concept of downside risk (VAR) and its circle of relationships. 3.3 LAR: liquidity risk and the missing theoretical concept. 3.4 An attempt at an integrated concept for LAR. 3.5 Summary. 4 A Policy Framework for Liquidity. 4.1 Some thoughts and considerations. 4.2 An overview of elements regarding liquidity policy. 4.3 The elements of a liquidity policy in detail. 4.4 Contingency planning. 4.5 A technical framework supporting liquidity policy. 4.6 The link to liquidity management. 5 Conceptual Considerations on Liquidity Management. 5.1 Introduction. 5.2 From accounting presentation to defining the liquidity balance sheet. 5.3 The liquidity balance sheet and liquidity flows. 6 Quantitative Aspects of Liquidity Management. 6.1 General consideration. 6.2 Liquidity at risk as one determinant of the buffers. 6.3 Defining and quantifying the buffers. 6.4 Limit-related input for liquidity policy. 6.5 Transfer pricing and an alternative concept. 7 The Concept in Practice. 7.1 Introduction. 7.2 Establishing the base. 7.3 Case 1: a shock event (9/11). 7.4 Case 2: a name-related stress (Commerzbank in autumn 2002). 7.5 'Subprime' crisis: a stress in progress. 7.6 Final remarks and considerations. 8 Acting Within the Supervisory Frame. 8.1 High-level risks. 8.2 The regulatory focus set by supervisors. 8.3 Considerations and conclusions for bank management. Bibliography. Index.
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