The financial crisis at the end of last decade has called for a comprehensive liquidity risk management framework. The challenge not only lies in finding appropriate liquidity risk measures but more importantly how to apply these measures to implement a risk based liquidity management. A core...

Portfolio risk measures such as Value at Risk is traditionally measured using a buy and hold assumption on the portfolio. In particular the 10-day market risk capital is commonly measured as the 1-day Value at Risk scaled by the square root of 10. While this scaling is convenient to obtain n-day...

With the focus on multi-horizon macroeconomic credit loss projection models in stress testing and impairments it is of interest to understand how different model assumptions can impact the projection under stressed and best estimate economic projections. In this paper we focus on the popular...

Intro -- Series page -- Title Page -- Copyright -- Table of Contents -- Preface -- About this book -- Whom is this book for? -- Outline of the book -- Acknowledgments -- Chapter 1: Introduction -- Banks and Risk Management -- Evolution of Bank Capital Regulation -- Creating Value from Risk...