Liquidity Risk Measurement and Management: A Practitioner's Guide to Global Best Practices

1 Introduction Peter Neu and Leonard Matz Part 1 Measuring and Monitoring Liquidity Risk 2 Liquidity Risk Measurement Peter Neu 3 Scenario Analysis and Stress Testing Leonard Matz Part 2 Managing Liquidity Risk 4 Monitoring and Controlling Liquidity Risk Leonard Mati 5 Liquidity Risk Management Strategies and Tactics Leonard Matz and Peter Neu 6 Contingency Planning Leonard Matz 7 Market Developments in Banks' Funding Markets Peter Neu Armin Leistenschneider, Bernhard Wondrak and Martin Knippschild Part 3 Case Studies and Aternative Views 8 A Concept for Cash Flow and Funding Liquidity Risk Robert Fdleder 9 The Liquidity Impact of Derivatives Collateral Louis D. Raffs 10 Modeling Non-maturing Products Martin M. Bardenhewer SThe Net Cash Capital Tool in Bank Liquidity Management ouis D. Raffis 12 Managing a Funding Crisis: Citizens First Bancorp, a Case Study 1989-1994 Bruce W. Mason 13 Liquidity Management at UBS Bruce McLean Forrest 14 Sound Liquidity Management as an Investment Criterion Dierk Brandenburg Part 4 Cutfing Edge 15 Dynamic Modeling and Opt mization of Non-maturing Accounts Karl Frauendorfer and Michael Schtrle 16 Liquidity Risk and Classical Option Pricing Theory Robert A. Jarrow Part 5 Conlusion 17 View from the Mountaintop Leonard Matz and Peter Neu