The Liquidity Risk Book

Robert Fiedler has been at the forefront of liquidity risk modelling.
Fifteen years ago he started to 'invent' concepts like Expected Cash Liquidity (ECL), Expected-Liquidity-at-Risk (ELaR), Value-Liquidity-at-Risk (VLaR), CounterBalancing Capacity (CBC), Forecast-at-Risk (FaR), Liquidity Units, Liquidity Options, Liquifiability Index (LiX), Forward and Future LCR; just to name a few.

In Liquidity Risk Modelling he has developed a rigorous methodological approach to distinguish the different liquidity risk types from each other and to create a consistent methodology for the measurement of funding liquidity risk.

Liquidity Risk Modeling from Robert Fiedler

RiskBooks

ISBN 978-1-906348-46-5n

"Inspiring...

...I found (Liquidity Modelling) helpful to develop a multi-level view of liquidity within the various classes of banks, like large, small regional, and complex banking entities.
This lays out a framework for a ALCO, Limit monitoring driven from data collected in various formats, trying to address complex issues like non-maturing product maturities.
I would recommend for the serious Liquidity risk / Treasury/ALM professional, it is a worthwhile purchase."

Boris - 26 Mar 2012

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