The paper applies a reduced-form model to uncover from secondary market's Brady bond prices, together with Libor interest rates, how the risk of sovereign defau

Major events such as the Asian crisis in 1997, the Russian default on short-term debt in 1998, the downfall of the hedge fund long-term capital management in 19

Liquidity Management is now a core consideration for banks and other financial institutions following the collapse of numerous well-known banks in 2007-8. This

Liquidity risk is in the spotlight of both regulators andmanagement teams across the banking industry. The European bankingregulator has introduced and implemen

Andria van der Merwe provides a thorough guide to the critical tools needed to navigate liquidity markets and value security pricing in the presence of market f

A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative

The most up-to-date, comprehensive guide on liquidity risk management—from the professionals Written by a team of industry leaders from the Price Waterhouse C

One of the lessons learned from the Global Financial Crisis of 2007–9 is that minimum capital requirements are a necessary but inadequate safeguard for the st

Robust management of liquidity risk within the changing regulatory framework Liquidity Management applies current risk management theory, techniques, and proces

A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative