LIQUIDITY MODELLING
Book ID/图书代码： 14936111B50513
English Summary/英文概要： Liquidity risk is hard to understand. It needs to be broken down into its components and drivers in order to manage and model it successfully.
The market turmoil that began in mid-2007 re-emphasised the importance of liquidity to the functioning of financial markets and the banking sector. In advance of the turmoil, asset markets were buoyant and funding was readily available at low cost. The reversal in market conditions illustrated how quickly liquidity can evaporate and that illiquidity can last for an extended period of time. Financial regulators across the globe, are urging institutions to address this dimension of financial risk more comprehensively.
In this comprehensive guide to modelling liquidity risk, Robert Fiedler provides a coherent model which allows the reader to understand the components of illiquidity risk and how they interact and as a result enable you to build a quantitative model to display, measure and limit risk.
Liquidity Modelling is required reading for financial market practitioners who are dealing with liquidity risk and who want to understand it.
Chinese Summary/中文概要： 我们很难理解流动性风险。要想成功地应对和用模型解释它，我们必须将其分解，观察其组成零部件和驱动器。 开始于2007年中期的市场动荡让我们又一次认识到流动性对金融市场和银行功能发挥的重要性。在此危机之前，资产市场一派繁荣，资金充足，风险较低。市场情形的大逆转显示了流动性会以多么惊人的速度消失不见，而非流动性可以持续更久。全球范围的金融调整家们督促相关机构更全面地解决金融风险带来的问题。
本书全面详细，是建立流动性风险模型的指南。在此，罗伯特•菲德勒为我们提供了一个清晰地模型，这一模型可让读者理解非流动性风险的各个要素以及它们是如何相互作用的，最后，你也可以建立一个定量的模型来解释、衡量和较小风险。
《建立流动性模型》是正在处理流动性风险及希望理解此风险的读者们的良师益友。(兼职翻译-XMM)
Awards/获奖情况：
About the Author/作者介绍： 罗伯特拥有并经营一家流动性风险公司，此公司从事方法论和过程的咨询，也为流动性风险建立原型和提供信息技术对策。
在其职业生涯的前半场，罗伯特作为一名金融市场流动性经理花费了十多年时间在财政部和多家国际银行的交易大厅里从事着利率产品和衍生产品的交易。随后，他转入风险管理行业，创造了德意志银行流动性风险管理方法，这一方法成功地构建一个全球系统—利马—这一系统衡量并限制着此银行的资金风险。在进入软件开发市场后，罗伯特成为德国乡村联盟公司（Country Co-ordinator）的发起人之一，并任资产负债管理和多伦多卢森堡有限公司流动性风险解决方案的执行董事。在此之后，他加入了卢森堡费恩巴赫软件公司董事会，在那里，他监督着资产负债管理，绩效衡量，国际财务报告准则和流动性风险软件的发展。在此期间，他一直在开发流动性方法和讲授他的研究成果。携手瑞士圣加伦大学，他建立了一个随机模型，此模型可以降低不成熟资产和负债的投资风险和投资回报率。 Robert owns and runs Liquidity Risk Corp. which consults on methodology and processes and as well builds prototypes and IT solution for liquidity risk.
In the first half of his career, Robert spent over a decade in the treasury/dealing rooms of numerous international major banks as a money market liquidity manager, trading interest rate products and derivatives. Later he switched to risk management and developed Deutsche Bank Group’s liquidity risk methodology on which he successfully built a global system (LiMA) which measures and limits the bank’s funding liquidity. Moving into software development, Robert became Country Co-ordinator for Germany and Executive Director of ALM and Liquidity Risk Solutions at Algorithmics Inc., Toronto. Subsequently he joined the board of Fernbach Software, Luxemburg where he oversaw the development of ALM, performance measurement, IFRS and liquidity risk software. During this time he constantly developed liquidity methodologies and teached his research results. Jointly with the University of St. Gallen, Switzerland he developed a stochastic model which optimises the risk and return of investing Non-Maturing Assets and Liabilities.
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