Valuation and management of illiquid assets is an ongoing concern within financial institutions, even during so-called ‘normal’ low volatility market conditions. When markets are volatile, going through a liquidity squeeze, or during a full blown credit crisis, the concern can quickly morph into a full time preoccupation.
By bringing together the perspective of experts and practitioners on managing these high-risk, and frequently complex, financial assets, all of the key issues related to illiquid asset valuation are explored.
Illiquid assets constitute a challenging asset class with regards to their valuations and ongoing management. The significant and explicit emphasis put on the management and control of liquidity under the new and evolving regulatory regimes such as Basel III is a further testimony of this challenge.
In Managing Illiquid Assets: Perspectives and Challenges the perspectives of experts and practitioners are brought together on managing these high-risk, and frequently complex, financial assets.
|Publication date||28 Aug 2012|
|Size||155mm x 235mm|
I. Illiquid assets – an overview
Savita Verma and Michael Schouten
II. A brief history of valuation
III. Case Study: Funding and liquidity considerations in the US residential mortgage market
IV. Foundations of liquidity risk management
Kuntal Sur and Kaustav Bhattacharjee
V. Valuation of illiquid assets: third party sources
VI. A model for estimating the liquidity valuation adjustment on OTC derivatives
Umberto Cherubini and Sabrina Mulinacci
VII. Global valuation and dynamic risk management
Claudio Albanese, Guillaume Gimonet and Steve White
VIII. A Regulatory Perspective on Prudent Valuation and Best Practice in Product Control
IX. Beyond valuation: Basel III and its impact on illiquid assets
Michael Schouten, Vijay Krishnaswamy and Garry Smith
X. Model risk… or the risk of using models
Vijay Krishnaswamy and Danny Dieleman
XI. Stress testing in financial institutions
XII. Case Study: Risk governance and management practice of Hana Financial Group
Joon-Hui Yoon, Eun-Sok Kim and Ki-Sik Min