Market Liquidity Risk: Quantification Methods for Banks

As one of the main liquidity providers in the financial system are banks, regulators and policy makers concentrate on monitoring the liquidity positions of these institutions so as to maintain a robust liquidity framework and overall stability of the financial markets. This book describes methods and models quantifying market liquidity risk. The presented models are compared with respect to their theoretical components, risk estimation performances and ease of practical implementation. Even though all the methods described in this book can be used by any market participant, the model comparison is performed mainly from a risk management perspective with a clear focus on requirements of financial institutions.

Autorentext

Canan Caliskan completed her studies at Bilkent University and University of Vienna. Her research interests are focused primarily on measurement of financial risks. Ms. Caliskan has held several positions in risk management units of financial institutions. She currently lives in Austria and works as an Advisor to the Chief Risk Officer at a bank.