The global financial crisis showed the crippling effect poor liquidity risk management can have on markets and on firms.

In its wake, market practitioners and regulators alike recognise the necessity of effective management of liquidity and assessment of risks. Yet liquidity remains fuzzy even at a conceptual level, and liquidity risk management an emerging discipline.

Liquidity Modelling by Robert Fiedler is a guide on how to model and manage liquidity risk for financial market practitioners.

The author's practical approach equips the reader with the tools to understand the components of liquidity risk, how they interact and, as a result, to build a quantitative model to display, measure and limit risk.

Liquidity risk is hard to understand. It needs to be broken down into its components and drivers in order to manage and model it successfully.

The market turmoil that began in mid-2007 re-emphasised the importance of liquidity to the functioning of financial markets and the banking sector. In advance of the turmoil, asset markets were buoyant and funding was readily available at low cost. The reversal in market conditions illustrated how quickly liquidity can evaporate and that illiquidity can last for an extended period of time. Financial regulators across the globe are urging institutions to address this dimension of financial risk more comprehensively.

In this comprehensive guide to modelling liquidity risk, Robert Fiedler provides a coherent model which allows the reader to understand the components of illiquidity risk and how they interact and as a result enable you to build a quantitative model to display, measure and limit risk.

Liquidity Modelling is required reading for financial market practitioners who are dealing with liquidity risk and who want to understand it.

Key Topics Covered:

1 Introduction

2 Setting the Scene: Why Liquidity Is Important in a Bank

3 What Is Liquidity Risk?

4 Illiquidity Risk: The Foundations of Modelling

5 Capturing Uncertainties

6 A Template for an Illiquidity Risk Solution

7 The Counterbalancing Capacity

8 Intra-Day Liquidity Risk

9 Liquidity Transfer Pricing and Limits

10 The Basel III Banking Regulation

For more information visit http://www.researchandmarkets.com/research/93b01c/liquidity_modellin