Managing Illiquid Assets: Perspectives and Challenges 2012 pdf

The valuation and management of illiquid assets is a continuing concern in financial institutions, even in so-called ‘normal’ low volatility market conditions. Worry can quickly turn into a full-time preoccupation when markets are volatile, experiencing a liquidity crunch, or during a full-blown credit crisis. In this new book, the authors consider various aspects of valuation and the ongoing management of illiquid assets that contribute to this engagement: perspectives and challenges of liquidity risk management; External methods and approaches available in the literature for valuation of illiquid assets; liquidity problems in the US mortgage debt market; Major regulatory responses to the financial crisis on liquidity risk management; The main themes regarding the liquidity risk in the Basel III regime are; A new mathematical model to include liquidity value adjustment for over-the-counter contracts; Risk management best practices; and Limitations of current risk management systems for the future of risk management. Bringing together the perspective of experts and practitioners in the management of these high-risk and often complex financial assets, all key issues related to illiquid asset valuation are explored.
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