Risk Books Managing Illiquid Assets: Perspectives and Challenges

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. In this new book, the authors cover several aspects of valuation and the on-going management of illiquid assets that contribute to this preoccupation, including: Perspectives and challenges of liquidity risk management; External methods and approaches available in the literature for valuing illiquid assets; Liquidity issues relating to the US mortgage debt market; Principal regulatory responses to the financial crisis on liquidity risk management; Key themes relating to liquidity risk in the Basel III regime; A new mathematical model for incorporating a liquidity value adjustment for over the counter contracts; Risk management best practices; and The limitations of existing risk management systems with a view to the future of risk management. 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. About the Author Savita Verma, Vijay Krishnaswamy, Eric Takigawa and Michael Schouten Savita Verma is a financial risk management professional with expertise in market and credit risk. Her work experience covers risk management in the banking industry, in the financial risk management systems design and delivery industry, as a finance academic, and in marketing research. With more than 24 years of experience, Savita has held roles covering economic capital methodologies, credit and risk analytics, financial engineering, and academic and applied research in a number of countries. RBC Capital Markets, Algorithmics, Misys, Scotiabank and at the Schulich School of Business at York University, Toronto are among the institutions she has worked at. She has authored and co-authored articles and books on finance. Savita has a Ph.D. in Business Administration (Finance) from the University of British Columbia, Canada, and a Ph.D. in Mathematics from the Indian Institute of Technology in Kanpur, India. She is currently Manager, Quantitative Modeling Team of the Risk Architecture Department and a member of the Analytics & Risk Technology (ART) Project Team - at the UK Financial Services Authority (UK FSA). Vijay Krishnaswamy is a Partner and Heads the Enterprise Risk Management of Hymans Robertson, a boutique consulting firm in the UK. He has over 14 years of experience. He is a seasoned risk and capital professional with a unique international background spanning banking, consulting and regulation. He is also a regular speaker at industry conferences. His previous roles included working for the Financial Services Authority (FSA) overseeing a number of programmes to implement best practice in the regulator's own bank-wide stress testing models as well as reviewing ICAAPs and stress tests of UK banks. He also set up and co-chaired the FSA's internal model governance committee. In his consulting career including with KPMG, he worked with a range of financial institutions across the world on diverse topics in financial risk and capital, including model development and validation, reverse stress testing, capital management, planning and budgeting, and supporting regulatory applications. Prior to that, his industry experience spans a variety of roles in the front office, credit analysis, risk analytics and project management with Standard Chartered Bank and ANZ Banking Group. He holds a bachelor's degree in mathematics and an MBA in Finance from the Indian Institute of Management Ahmedabad. Eric Takigawa is a Managing Director at Markit, a leading supplier of specialty financial information services and products to the global business community. He is part o