Search results for: liquidity-stress-tests-for-investment-funds-a-practical-guide

Liquidity Stress Tests for Investment Funds A Practical Guide

Author : Antoine Bouveret
File Size : 84.35 MB
Format : PDF, Docs
Download : 917
Read : 1023
Download »
This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment of the resilience of investment funds are discussed. The integration of liquidity stress tests with banking sector stress tests and possible bank-fund interlinkages are also covered.

The Handbook of Global Shadow Banking Volume I

Author : Luc Nijs
File Size : 46.45 MB
Format : PDF
Download : 262
Read : 1077
Download »
This global handbook provides an up-to-date and comprehensive overview of shadow banking, or market-based finance as it has been recently coined. Engaging in financial intermediary services outside of normal regulatory parameters, the shadow banking sector was arguably a critical factor in causing the 2007-2009 financial crisis. This volume focuses specifically on shadow banking activities, risk, policy and regulatory issues. It evaluates the nexus between policy design and regulatory output around the world, paying attention to the concept of risk in all its dimensions—the legal, financial, market, economic and monetary perspectives. Particular attention is given to spillover risk, contagion risk and systemic risk and their positioning and relevance in shadow banking activities. Newly introduced and incoming policies are evaluated in detail, as well as how risk is managed, observed and assessed, and how new regulation can potentially create new sources of risk. Volume I concludes with analysis of what will and still needs to happen in the event of another crisis. Proposing innovative suggestions for improvement, including a novel Pigovian tax to tame financial and systemic risks, this handbook is a must-read for professionals and policy-makers within the banking sector, as well as those researching economics and finance.

Handbook of Financial Risk Management

Author : Thierry Roncalli
File Size : 67.35 MB
Format : PDF, Mobi
Download : 747
Read : 1244
Download »
Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at

On Swing Pricing and Systemic Risk Mitigation

Author : Sheheryar Malik
File Size : 73.4 MB
Format : PDF, Mobi
Download : 464
Read : 798
Download »
Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, which is already used in major jurisdictions, may also help mitigate systemic risk. Here we develop and apply a methodology to investigate whether swing pricing does in fact help dampen flows out of funds, especially during periods of market stress. Drawing on evidence of first-mover advantage within a group of ‘swinging’ corporate bond funds, we provide policy considerations for enhancing the tool’s effectiveness as a systemic risk mitigant.

A practical guide to UCITS funds and their risk management

Author : Charles Muller
File Size : 40.5 MB
Format : PDF, Mobi
Download : 953
Read : 813
Download »
UCITS funds today represent a major share of European funds. The European directives started with UCITS I in the mid 1980s, and have been amended up to UCITS I in 2009, to be followed soon by a UCITS V package. In its first part, this book is summarizing the evolution and features of these successive sets of European regulations. Among others, it covers the UCITS eligible assets, the key parties involved in UCITS funds operations, their reporting and information requirements, taxation and many other useful related subjects, to give a short but useful understanding of the UCITS world. Besides, the UCITS IV directive is entering into the risk management field, which is materialized by the issue of a key document entitled Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS (the famous ref. 10 - 788 Guidelines of the Committee of the European Securities Regula tors "CESR"). These Guidelines require some technical skills: the second part of this book reproduces the CESR's Guidelines, punctuated with comments and prerequisites of quantitative finance, to help for a better understanding of the content and significance of this UCITS IV objective.

A practical guide to UCITS funds and their risk management

Author : Charles Muller
File Size : 89.59 MB
Format : PDF, ePub, Docs
Download : 640
Read : 901
Download »
A must-have book about investments ! UCITS funds today represent a major share of European funds. The European directives started with UCITS I in the mids 1980s, and have been amended up to UCITS IV in 2009, to be followed soon by a UCITS V package. In its first part, this book is summarizing the evolution and features of these successive sets of European regulations. Among others, it covers the UCITS eligible assets, the key parties involved in UCITS funds operations, their reporting and information requirements, taxation and many other useful related subjects, to give a short but useful understanding of the UCITS world.Beside the UCITS IV directive is entering into the risk management fiel, wich is materialized by the issue of a key document entitled Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS (the famous ref. 10-788 Guidelines of the Committee of the European Securities Regulators "CESR"). The Guidelines require some technical skills: the second part pf this book reproduces the CESR's Guidelines, punctuated with comments and prerequisites of quantitative finance, to help for a better understanding of the content and significance of this UCITS IV objective. This book will give you the best keys to invest, avoiding many financial risks.

Stress Testing and Risk Integration in Banks

Author : Tiziano Bellini
File Size : 69.46 MB
Format : PDF, Docs
Download : 327
Read : 465
Download »
Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies. Provides a rigorous statistical framework for modeling stress test in line with U.S. Federal Reserve FRB CCAR (Comprehensive Capital Analysis Review), U.K. PRA (Prudential Regulatory Authority), EBA (European Baning Authorithy) and comply with Basel Accord requirements Follows an integrated bottom-up approach central in the most advanced risk modelling practice Provides numerous sample codes in Matlab and R

Practical Guide to Financial Instruments

Author : Santosh Maller
File Size : 44.93 MB
Format : PDF, Kindle
Download : 502
Read : 1155
Download »
About the book Accounting for financial instruments under Ind AS is generally complex. In India, we do not have much of a history of a comprehensive and robust accounting framework for financial instruments. Historically, accounting for financial instruments is primarily based on form rather than the contractual terms of instruments. Focus on accounting for financial instruments started only since 2007. Owing to global financial crisis which raised issues regarding accounting treatment of financial instruments, various accounting standards setting bodies examined the robustness of accounting for financial instruments. Further, Ind AS transition resulted in high-quality, principles-based, globally comparable financial reporting of large Indian companies. Accounting for financial instruments under Ind AS is quite robust and comprehensive. Towards this end, this book attempts to provide insights and in-depth analysis on interpretative issues and complex principles in the Ind ASs dealing with financial instruments. The requirements of Ind AS 32, Financial instruments: Presentation, Ind AS 109, Financial instruments, and Ind AS 107 Financial instruments: Disclosures are extensively dealt with. There are separate chapters addressing: Scope of the requirements. Debt/equity classification. Classification. Recognition and Derecognition. Subsequent measurement. Fair values and impairment. Hedge accounting. Presentation and Disclosures. Implications on key provisions of Companies Act, 2013. ICAI's Guidance Note on Accounting for Derivative Contracts. This book is intended to help the companies to identify Ind AS requirements that are relevant to them and evaluate various aspects of financial instruments accounting. The book would be an immensely useful referencer for professionals, practitioners and corporates. Key features - To simplify the reading experience, the chapters include a brief, easy to understand, summary of the relevant topic, followed by Frequently Asked Questions (FAQs) on the chapter. - Covers examples-based illustrations of complex topics. - Covers case studies on hedge accounting with journal entries, guidance for hedge documentation and effectiveness testing. - Includes real life extracts of disclosures of financial instruments. - Covers the amendment related to LIBOR and other interbank offered rates ('IBORs') issued by the Ministry of Corporate Affairs vide Companies (Indian Accounting Standards) Amendment Rules, 2020 on 24 July, 2020. - Covers key implications of Ind AS under Companies Act, 2013.About the book

Achieving Investment Excellence

Author : Kees Koedijk
File Size : 47.14 MB
Format : PDF, ePub, Docs
Download : 881
Read : 151
Download »
Crucial methods, tactics and tools for successful pension fund management Achieving Investment Excellence offers trustees and asset managers a comprehensive handbook for improving the quality of their investments. With a stated goal of substantially and sustainably improving annual returns, this book clarifies and demystifies important concepts surrounding trustee duties and responsibilities, investment strategies, analysis, evaluation and much more. Low interest rates are making the high cost of future pension payouts fraught with tension, even as the time and knowledge required to manage these funds appropriately increases — it is no wonder that pensions are increasingly seen as a financial liability. Now more than ever, it is critical that trustees understand exactly what contributes to investment success — and what detracts from it. This book details the roles, the tools and the strategies that make pension funds pay off. Understand the role of pension funds and the fiduciary duty of trustees Learn the tools and kills you need to build profound and lasting investment excellence Analyse, diagnose and improve investment quality of funds using concrete tools and instruments Study illustrative examples that demonstrate critical implementation and execution advice Packed with expert insight, crucial tools and real-life examples, this book is an important resource for those tasked with governing these. Achieving Investment Excellence provides the expert insight, clear guidance and key wisdom you need to manage these funds successfully.

Liquidity Risk Management

Author : Shyam Venkat
File Size : 51.92 MB
Format : PDF, ePub, Docs
Download : 206
Read : 1182
Download »
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 Coopers Financial Services Regulatory Practice, Liquidity Risk Management is the first book of its kind to pull back the curtain on a global approach to liquidity risk management in the post-financial crisis. Now, as a number of regulatory initiatives emerge, this timely and informative book explores the real-world implications of risk management practices in today's market. Taking a clear and focused approach to the operational and financial obligations of liquidity risk management, the book builds upon a foundational knowledge of banking and capital markets and explores in-depth the key aspects of the subject, including governance, regulatory developments, analytical frameworks, reporting, strategic implications, and more. The book also addresses management practices that are particularly insightful to liquidity risk management practitioners and managers in numerous areas of banking organizations. Each chapter is authored by a Price Waterhouse Coopers partner or director who has significant, hands-on expertise Content addresses key areas of the subject, such as liquidity stress testing and information reporting Several chapters are devoted to Basel III and its implications for bank liquidity risk management and business strategy Includes a dedicated, current, and all-inclusive look at liquidity risk management Complemented with hands-on insight from the field's leading authorities on the subject, Liquidity Risk Management is essential reading for practitioners and managers within banking organizations looking for the most current information on liquidity risk management.

The Liquidity Risk Management Guide

Author : Gudni Adalsteinsson
File Size : 69.3 MB
Format : PDF
Download : 541
Read : 604
Download »
Liquidity risk is in the spotlight of both regulators and management teams across the banking industry. The European banking regulator has introduced and implemented a stronger liquidity regulatory framework and local regulators have made liquidity a top priority on their supervisory agenda. Banks have accordingly followed suit. Liquidity risk is now a topic widely discussed in boardrooms as banks strive to set up a strong and efficient liquidity risk management framework which, while maintaining sufficient resources, does not jeopardize the necessary profitability and return targets. The Liquidity Risk Management Guide: From Policy to Pitfalls is a practical guide for banks and risk professionals to proactively manage liquidity risk in a systemic way. The book sets out its own comprehensive framework, which includes all the various and critical components of liquidity risk management. The recommendations are based on experiences from the recent financial crisis, best practices and compliance with current and future regulatory requirements, with special emphasis on Basel III. Using the new ‘6 Step Framework’, the book provides step-by-step guidance for the reader to build their liquidity management framework into a new overarching structure, which brings all the different parts of liquidity risk into one approach. Special attention is given to the challenges that banks currently face when adopting and implementing the Basel III liquidity requirements and guidance is given on how the new metrics can be integrated into the existing framework, providing the most value to the banks instead of being a regulatory reporting matter.

Liquidity Risk Measurement and Management

Author : Leonard Matz
File Size : 41.99 MB
Format : PDF, Docs
Download : 338
Read : 1049
Download »
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 1998 and the disruption in payment systems following the World Trade Center attack in 2001, all resulted in increased management’s attention to liquidity risk. Banks have realized that adequate systems and processes for identifying, measuring, monitoring and controlling liquidity risks help them to maintain a strong liquidity position, which in turn will increase the confidence of investors and rating agencies as well as improve funding costs and availability. Liquidity Risk Measurement and Management: A Practitioner’s Guide to Global Best Practices provides the best practices in tools and techniques for bank liquidity risk measurement and management. Experienced bankers and highly regarded liquidity risk experts share their insights and practical experiences in this book.

A Guide to IMF Stress Testing

Author : Ms.Li L Ong
File Size : 51.80 MB
Format : PDF, Docs
Download : 182
Read : 265
Download »
The IMF has had extensive involvement in the stress testing of financial systems in its member countries. This book presents the methods and models that have been developed by IMF staff over the years and that can be applied to the gamut of financial systems. An added resource for readers is the companion CD-Rom, which makes available the toolkit with some of the models presented in the book (also located at

Credit Engineering for Bankers

Author : Morton Glantz
File Size : 83.34 MB
Format : PDF, Mobi
Download : 820
Read : 1135
Download »
More efficient credit portfolio engineering can increase the decision-making power of bankers and boost the market value of their banks. By implementing robust risk management procedures, bankers can develop comprehensive views of obligors by integrating fundamental and market data into a portfolio framework that treats all instruments similarly. Banks that can implement strategies for uncovering credit risk investments with the highest return per unit of risk can confidently build their businesses. Through chapters on fundamental analysis and credit administration, authors Morton Glantz and Johnathan Mun teach readers how to improve their credit skills and develop logical decision-making processes. As readers acquire new abilities to calculate risks and evaluate portfolios, they learn how credit risk strategies and policies can affect and be affected by credit ratings and global exposure tracking systems. The result is a book that facilitates the discipline of market-oriented portfolio management in the face of unending changes in the financial industry. Concentrates on the practical implementation of credit engineering strategies and tools Demonstrates how bankers can use portfolio analytics to increase their insights about different groups of obligors Investigates ways to improve a portfolio’s return on risk while minimizing probability of insolvency

Macedonia Investment and Business Guide Volume 1 Strategic and Practical Information

Author : IBP, Inc.
File Size : 23.52 MB
Format : PDF, ePub, Docs
Download : 827
Read : 744
Download »
Macedonia Investment and Business Guide Volume 1 Strategic and Practical Information

Handbook of Financial Data and Risk Information I

Author : Margarita S. Brose
File Size : 74.32 MB
Format : PDF, Docs
Download : 301
Read : 1242
Download »
A comprehensive resource for understanding the issues involved in collecting, measuring and managing data in the financial services industry.

Multilingual Interpretation of European Union Law

Author : Dirk A. Zetzsche
File Size : 27.77 MB
Format : PDF, ePub
Download : 458
Read : 807
Download »
The Alternative Investment Fund Managers Directive (AIFMD) may be the most important European asset management regulation of the early 21st century. However, a preponderance of practitioners and academics in the field argue that, in its present form, the directive is seriously out of touch with both the system of European financial law and industry practice. In this first in-depth analytical and critical discussion of the content and system of the directive, thirty-four contributing authors – academics, lawyers, consultants, fund supervisors, and fund industry experts – examine the AIFMD from every angle. They cover structure, regulatory history, scope, appointment and authorization of the manager, rules on delegation, reporting requirements, transitional provisions, and the objectives stipulated in the recitals and other official documents. The challenging implications and contexts they examine include the following: connection with systemic risk and the financial crisis; impact on money laundering and financial crime; nexus with insurance for negligent conduct; connection with corporate governance doctrine; risk management; transparency; the cross-border dimension; liability for lost assets; and impact on alternative investment strategies. Ten country reports add a national perspective to the discussion of the European regulation. These chapters deal with the potential interactions among the AIFMD and the relevant laws and regulations of Italy, Switzerland, Luxembourg, The Netherlands, Austria, Liechtenstein, the United Kingdom, Germany, France, and Ireland. The former are Europe’s most vibrant financial centres and markets. Designed to spur a critical attitude towards the emerging new European financial markets framework presaged by the AIFMD, this much-needed discussion not only elaborates on the inconsistencies and difficulties sure to be encountered when applying the directive, but also provides potential solutions to the problems it raises. The book will be warmly welcomed by investors and their counsel, fund managers, depositaries, asset managers, and administrators, as well as academics in the field.

The Principles of Banking

Author : Moorad Choudhry
File Size : 31.84 MB
Format : PDF, Kindle
Download : 264
Read : 1288
Download »
The ultimate guide for bank management: how to survive and thrive throughout the business cycle An essential guide for bankers and students of finance everywhere, The Principles of Banking reiterates that the primary requirement of banking—sound capital and liquidity risk management—had been forgotten in the years prior to the financial crash. Serving as a policy guide for market practitioners and regulators at all levels, the book explains the keys to success that bankers need to follow during good times in order to be prepared for the bad, providing in-depth guidance and technical analysis of exactly what constitutes good banking practice. Accessible to professionals and students alike, The Principles of Banking covers issues of practical importance to bank practitioners, including asset-liability management, liquidity risk, internal transfer pricing, capital management, stress testing, and more. With an emphasis on viewing business cycles as patterns of stable and stressful market behavior, and rich with worked examples illustrating the key principles of bank asset-liability management, the book is an essential policy guide for today and tomorrow. It also offers readers access to an accompanying website holding policy templates and teaching aids. Illustrates how unsound banking practices that were evident in previous bank crashes were repeated during the creation of the 2007-2008 financial market crisis Provides a template that can be used to create a sound liquidity and asset-liability management framework at any bank An essential resource for the international banking community as it seeks to re-establish its credibility, as well as for students of finance Explains the original principles of banking, including sound lending policy and liquidity management, and why these need to be restated in order to avoid another bank crisis at the time of the next economic recession Covers topics of particular importance to students and academia, many of which are marginally—if ever—addressed in current text books on finance Offers readers access to a companion website featuring invaluable learning and teaching aids Written by a banking practitioner with extensive professional and teaching experience in the field, The Principles of Banking explains exactly how to get back to basics in risk management in the banking community, essential if we are to maintain a sustainable banking industry. “engaging and interesting and, more importantly, easily understood, allowing a clear picture to emerge of how the principle or concept under discussion is to be applied in the real world.” - Graeme Wolvaardt, Head of Market & Liquidity Risk Control, Europe Arab Bank Plc

Reverse Stress Testing in Banking

Author : Michael Eichhorn
File Size : 24.21 MB
Format : PDF, ePub, Docs
Download : 858
Read : 1196
Download »
Reverse stress testing was introduced in risk management as a regulatory tool for financial institutions more than a decade ago. The recent Covid-19 crisis illustrates its relevance and highlights the need for a systematic re-thinking of tail risks in the banking sector. This book addresses the need for practical guidance describing the entire reverse stress testing process. Reverse Stress Testing in Banking features contributions from a diverse range of established practitioners and academics. Organized in six parts, the book presents a series of contributions providing an in-depth understanding of: Regulatory requirements and ways to address them Quantitative and qualitative approaches to apply reverse stress testing at different levels – from investment portfolios and individual banks to the entire banking system The use of artificial intelligence, machine learning and quantum computing to gain insights into and address banks’ structural weaknesses Opportunities to co-integrate reverse stress testing with recovery and resolution planning Governance and processes for board members and C-suite executives Readers will benefit from the case studies, use cases from practitioners, discussion questions, recommendations and innovative practices provided in this insightful and pioneering book.

Demystifying Fixed Income Analytics

Author : Kedar Nath Mukherjee
File Size : 57.84 MB
Format : PDF, ePub, Docs
Download : 436
Read : 990
Download »
This book discusses important aspects of fixed income securities in emerging economies. Key features • Clarifies all conceptual and analytical aspects of fixed income securities and bonds, and covers important interest rate and credit derivative instruments in a simple and practical way. • Examines topics such as classifications of fixed income instruments; related risk-return measures; yield curve and term structure of interest rates; interest rate derivatives (forwards, futures and swaps), credit derivatives (credit default swaps); and trading strategies and risk management. • Provides step-by-step explanation of fixed income products by including real-life examples, scenarios and cases, especially in the context of emerging markets. • Presents consistent reference of actual market practices to make the chapters practice oriented while maintaining a lucid style complemented by adequate reading inputs and clear learning outcomes. • Includes complete solutions of numericals and cases for all chapters as an eResource on the Routledge website to aid understanding. The book will serve as a ready guide to both professionals from banking and finance industry (fixed income/bond dealers; fund/investment/portfolio managers; investment bankers; financial analysts/consultants; risk management specialists), and those in academics, including students, research scholars, and teachers in the fields of business management, banking, insurance, finance, financial economics, business economics, and risk management.