Bank Liquidity Risk Management and Measurement

The recent market turmoil caused by the sub-prime crisis highlighted how several key factors can strongly affect the banks capability to preserve their financial equilibrium under stress. Current liquidity risk models demonstrated to undervalue extreme events affecting funding and market risk in global scenarios. There was not an integrated measurement tool able to cover all the dimensions of liquidity risk and commonly adopted by the majority of institutions. This work, therefore, intends to highlight the most significant features to consider in order to implement an effective liquidity risk measurement and management.

Autorentext

Dr. Mario Di Carlo has obtained his Master Degree in Economy and Banking in July 2010, with a thesis on Liquidity Risk Measurement and Management. Since then he decided to move from fundamental research in risk management and investment analysis in banking.