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

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3.5  ·  Rating details ·  6 Ratings  ·  1 Review
Major events such as the Asian crisis in 1997, the Russian default on short-term debt in 1998, the downfall of the hedge fund long-term capital management in 1998 and the disruption in payment systems following the World Trade Center attack in 2001, all resulted in increased management's attention to liquidity risk. Banks have realized that adequate systems and processes f ...more
Hardcover, 395 pages
Published November 1st 2006 by John Wiley & Sons
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Jun 13, 2011 rated it really liked it
Given there are so few books written on the topic of specifically liquidity risk, this is pretty much the reference at this point. I love the way the Neu and Matz describe different types of liquidity risk. I am absolutely using that for my paper.



I am surprised that Jarrow's work is sited as being able to adjust for problems in liquidity. That seems a little off mark. I think with very short term liquidity, sure, but not with true crisis/systemic liquidity. You pretty much have to play your car
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