The paper analyses the different approaches to measure the impact of funding and market liquidity risk in the economics and management of banks. The paper provides also an analysis of the organisational implications of the asset and liability management perspective of liquidity risk. Liquidity...

A stochastic optimization framework is presented for liquidity risk management which is one of the principle issues facing an asset/liability manager. The various sources of cashflow uncertainty are first introduced. The notion of portfolio risk is then formally defined. The concepts of a risk...