SOA QFI Track 参考书超全大合集

https://bbs.pinggu.org/thread-6906828-1-1.html

书籍名称：Liquidity Risk Measurement and Management-A Practitioner's Guide to Global Best Practices

作者：Leonard Matz, Peter Neu

出版年份：2007

共394p，文字版（非扫描版）PDF

ISBN 978-0-470-82182-4

目录：

Acknowledgments ix

About the Contributors xi

1 Introduction Peter Neu and Leonard Matz 1

Part 1 Measuring and Monitoring Liquidity Risk 13

2 Liquidity Risk Measurement Peter Neu 15

3 Scenario Analysis and Stress Testing Leonard Matz 37

Part 2 Managing Liquidity Risk 65

4 Monitoring and Controlling Liquidity Risk Leonard Matz 67

5 Liquidity Risk Management Strategies and Tactics Leonard Matz and Peter Neu 100

6 Contingency Planning Leonard Matz 121

7 Market Developments in Banks’ Funding Markets Peter Neu, Armin Leistenschneider, Bernhard Wondrak and Martin Knippschild 146

Part 3 Case Studies and Alternative Views 171

8 A Concept for Cash Flow and Funding Liquidity Risk Robert Fiedler 173

9 The Liquidity Impact of Derivatives Collateral Louis D. Raffis 204

10 Modeling Non-maturing Products Martin M. Bardenhewer 220

11 The Net Cash Capital Tool in Bank Liquidity Management Louis D. Raffis 257

12 Managing a Funding Crisis: Citizens First Bancorp, a Case Study 1989–1994 Bruce W. Mason 268

13 Liquidity Management at UBS Bruce McLean Forrest 293

14 Sound Liquidity Management as an Investment Criterion Dierk Brandenburg 310

Part 4 Cutting Edge 325

15 Dynamic Modeling and Optimization of Non-maturing Accounts Karl Frauendorfer and Michael Schurle 327

16 Liquidity Risk and Classical Option Pricing Theory Robert A. Jarrow 360

Part 5 Conclusion 377

17 View from the Mountaintop Leonard Matz and Peter Neu 379

Index 391