Liquidity Dynamics And Risk Modeling
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Liquidity Dynamics And Risk Modeling
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Author : Mazin A. M. Al Janabi
language : en
Publisher: Springer Nature
Release Date : 2024-12-09
Liquidity Dynamics And Risk Modeling written by Mazin A. M. Al Janabi and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-12-09 with Business & Economics categories.
This book presents a high-quality contribution to the applications of modern financial algorithms for liquidity risk management and its practical uses and applications to investable portfolios and mutual funds. It brings together the latest thinking on the emerging topic of contemporary liquidity risk estimations and management and includes principles, reviews, examples, and concrete financial markets applications to trading and investment portfolios. Furthermore, it explores research directions of liquidity risk management using modified Liquidity-Adjusted Value-at-Risk (L-VaR) models with the application of machine learning optimization algorithms. The book presents specific self-contained use-cases throughout, showing practical applications of the concepts discussed and providing further directions for researchers and financial markets participants. The book draws practical insights from personal experiences and applies specific examples (with the use of real-world case studies and analysis) about how the modeling techniques and machine learning optimization algorithms could address specific theoretical and practical issues of liquidity risk management and coherent asset allocation in trading and investment portfolios. It will be of interest to researchers, students, and practitioners of risk management, portfolio management, and machine learning.
A Quantitative Liquidity Model For Banks
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Author : Christian Schmaltz
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-05-30
A Quantitative Liquidity Model For Banks written by Christian Schmaltz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-05-30 with Business & Economics categories.
Christian Schmaltz identifies product cash flows, funding spread, funding capacity, haircuts, and short-term interest rates as key liquidity variables. Then, he assumes specific stochastic processes for the key variables leading to a particular liquidity model. The model is used to derive liquidity funds transfer prices and to optimally manage liquidity.
Measuring And Managing Liquidity Risk
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Author : Antonio Castagna
language : en
Publisher: John Wiley & Sons
Release Date : 2013-09-03
Measuring And Managing Liquidity Risk written by Antonio Castagna and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-03 with Business & Economics categories.
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, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, 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 liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.
Market Liquidity
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Author : Thierry Foucault
language : en
Publisher: Oxford University Press
Release Date : 2023
Market Liquidity written by Thierry Foucault and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with Business & Economics categories.
In the fully revised second edition of Market Liquidity, Thierry Foucault, Marco Pagano, and Ailsa Röell offer a comprehensive take on the liquidity of securities markets, its determinants, and its effects. Including new illustrative examples of market malfunction and novel insights from recent research on security markets, the authors bring readers up to speed on changes in market structures and financial regulation. New chapters cover the relationship between financial instability and market liquidity, as well as the role and effects of algorithmic and high-frequency trading.
Liquidity Markets And Trading In Action
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Author : Deniz Ozenbas
language : en
Publisher: Springer Nature
Release Date : 2021-08-25
Liquidity Markets And Trading In Action written by Deniz Ozenbas and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-25 with Business & Economics categories.
This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call “frictions”. It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
Financial Risk Management And Modeling
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Author : Constantin Zopounidis
language : en
Publisher: Springer Nature
Release Date : 2021-09-13
Financial Risk Management And Modeling written by Constantin Zopounidis and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-13 with Business & Economics categories.
Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.
Simulation In Computational Finance And Economics
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Author : Biliana Alexandrova-Kabadjova
language : en
Publisher:
Release Date : 2013
Simulation In Computational Finance And Economics written by Biliana Alexandrova-Kabadjova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit risk related applications, etc. Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including Risk Management, Agent-Based Simulation, and Payment Methods and Systems, topics that have found new motivations after the strong recession experienced in the last few years. Despite the fact that simulation is widely accepted as a prominent tool, dealing with a simulation-based project requires specific management abilities of the researchers. Economic researchers will find an excellent reference to introduce them to the computational simulation models. The works presented in this book can be used as an inspiration for economic researchers interested in creating their own computational models in their respective fields.
Understanding Global Liquidity
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Author : Sandra Eickmeier
language : en
Publisher:
Release Date : 2016
Understanding Global Liquidity written by Sandra Eickmeier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor loadings, we achieve a structural identification of the factors. The results suggest that global liquidity conditions are largely driven by three common factors and can therefore not be summarised by a single indicator. These three factors can be identified as global monetary policy, global credit supply and global credit demand.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Risk Management
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Author : Nerija Banaitiene
language : en
Publisher: BoD – Books on Demand
Release Date : 2012-09-12
Risk Management written by Nerija Banaitiene and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-12 with Business & Economics categories.
Every business and decision involves a certain amount of risk. Risk might cause a loss to a company. This does not mean, however, that businesses cannot take risks. As disengagement and risk aversion may result in missed business opportunities, which will lead to slower growth and reduced prosperity of a company. In today's increasingly complex and diverse environment, it is crucial to find the right balance between risk aversion and risk taking. To do this it is essential to understand the complex, out of the whole range of economic, technical, operational, environmental and social risks associated with the company's activities. However, risk management is about much more than merely avoiding or successfully deriving benefit from opportunities. Risk management is the identification, assessment, and prioritization of risks. Lastly, risk management helps a company to handle the risks associated with a rapidly changing business environment.