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2024 FRM Exam Part II Liquidity and Treasury Risk Measurement and Management PDF
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The "2024 FRM Exam Part II – Liquidity and Treasury Risk Measurement and Management PDF" by GARP (Global Association of Risk Professionals) is a critical resource for mastering the concepts of liquidity risk and treasury management for the FRM Exam Part II. This guide explores the tools and techn...

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  • November 15, 2024
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, ®
@GARP
FRM I Financial Risk Manager




2024
®



EXAM PART II
Liquidity and
Treasury Risk
Measurement
and Management




@Pearson

,Copyright© 2024, 2023, 2022, 2021, 2020 by the Global Association of Risk Professionals All rights reserved.

This copyright covers material written expressly for this volume by the editor/s as well as the compilation itself. It does not cover the individual
selections herein that first appeared elsewhere. Permission to reprint these has been obtained by Pearson Education, Inc. for this edition only. Further
reproduction by any means, electronic or mechanical, including photocopying and recording, or by any information storage or retrieval system, must
be arranged with the individual copyright holders noted.

Grateful acknowledgment is made to the following sources for permission to reprint material copyrighted or controlled by them:

"Liquidity Risk," by John C. Hull, reprinted from Risk Management and 3rd Edition (2011), by permission of John Wiley & Sons, Inc. All rights
Financial Institutions, 5th Edition (2018), by permission of John Wiley & Sons, reserved. Used under license from John Wiley & Sons, Inc.
Inc. All rights reserved. Used under license from John Wiley & Sons, Inc.
"Liquidity Transfer Pricing: A Guide to Better Practice," Financial
"Liquidity and Leverage" by Allan M. Malz, reprinted from Financial Risk Stability Institute Occasional Paper No. 10, by Joel Grant, June 2011,
Management: Models, History, and Institutions (2011), by permission of by permission of the Bank for International Settlements. Information
John Wiley & Sons, Inc. All rights reserved. Used under license from John retrieved from the Bank for International Settlements is freely available at
Wiley & Sons, Inc. their website: www.bis.org.

"Early Warning Indicators" by Shyam Venkat and Stephen Baird, "The US Dollar Shortage in Global Banking and the International Policy
reprinted from Liquidity Risk Management: A Practitioner's Perspective Response," BIS Working Paper No. 291, by Patrick McGuire and Getz
(2016), by permission of John Wiley & Sons, Inc. All rights reserved. Used von Peter, October 2009, by permission of the Bank for International
under license from John Wiley & Sons, Inc. Settlements. Information retrieved from the Bank for International
Settlements is freely available at their website: www.bis.org.
"The Investment Function in Financial Services Management" and "Liquidity
and Reserves Management: Strategies and Policies," by Peter S. Rose and "Covered Interest Rate Parity Lost: Understanding the Cross-Currency
Sylvia C. Hudgins, reprinted from Bank Management & Financial Services, Basis," by Claudio Borio, Robert McCauley, Patrick McGuire, and
Ninth Edition (2013), by permission of the McGraw Hill Companies, Inc. Vladyslav Sushko, BIS Quarterly Review, September 2016, by permission
of the Bank for International Settlements. Information retrieved from the
"lntraday Liquidity Risk Management," by Shyam Venkat and Stephen
Bank for International Settlements is freely available at their website:
Baird, reprinted from Liquidity Risk Management: A Practitioner's
www.bis.org.
Perspective (2016), by permission of John Wiley & Sons, Inc. All rights
reserved. Used under license from John Wiley & Sons, Inc. "Risk Management for Changing Interest Rates: Asset-Liability
Management and Duration Techniques," by Peter S. Rose and Sylvia C.
"Monitoring Liquidity," by Antonio Castagna and Francesco Fede,
Hudgins, reprinted from Bank Management & Financial Services, Ninth
reprinted from Measuring and Managing Liquidity Risk (2013), by
Edition (2013), by permission of the McGraw Hill Companies, Inc.
permission of John Wiley & Sons, Inc. All rights reserved. Used under
license from John Wiley & Sons, Inc. "Illiquid Assets," by Andrew Ang, reprinted from Asset Management: A
Systematic Approach to Factor Investing (2014), by permission of Oxford
"Liquidity Stress Testing" by Shyam Venkat and Stephen Baird, reprinted
University Press.
from Liquidity Risk Management: A Practitioner's Perspective (2016), by
permission of John Wiley & Sons, Inc. All rights reserved. Used under "Movements in the Effective Federal Funds Rate, Its Target (the
license from John Wiley & Sons, Inc. Intended Federal Funds) Rate, and the Discount (Primary Credit) Rate for
Depository Institutions Seeking Credit from the Federal Reserve Banks,"
"The Failure Mechanics of Dealer Banks," by Darrell Duffie, reprinted
reprinted with permission from the Federal Reserve Bank of St. Louis
from the Journal of Economic Perspectives, vol. 24, no. 1, Winter 2010,
Monetary Trends, March 2011, p. 3; https://s3.amazonaws.com/files.
by permission from Journal of Economic Perspectives.
research.stlouisfed.org/datatrends/pdfs/mt/20110301/mtpub.pdf.
"Liquidity Risk Reporting and Stress Testing," by Moorad Chaudhry,
Learning Objectives provided by the Global Association of Risk
reprinted from The Principles of Banking (2012), by permission of John
Professionals.
Wiley & Sons, Inc. All rights reserved. Used under license from John
Wiley & Sons, Inc. All trademarks, service marks, registered trademarks, and registered
service marks are the property of their respective owners and are used
"Contingency Funding Planning" by Shyam Venkat and Stephen Baird,
herein for identification purposes only.
reprinted from Liquidity Risk Management: A Practicioner's Perspective
(2016), by permission of John Wiley & Sons, Inc. All rights reserved. Used Pearson Education, Inc., 221 River Street, Hoboken, NJ 07030
under license from John Wiley & Sons, Inc. A Pearson Education Company
www.pearson ed.com
"Managing and Pricing Deposit Services" and "Managing Nondeposit
Liabilities," by Peter S. Rose and Sylvia C. Hudgins, reprinted from Bank Printed in the United States of America
Management & Financial Services, Ninth Edition (2013), by permission of
ScoutAutomatedPrintCode
the McGraw Hill Companies, Inc.
00033038-00000002 I A 1 03001321009
"Repurchase Agreements and Financing," by Bruce Tuckman and Angel
Serrat, reprinted from Fixed Income Securities: Tools for Today's Markets, EEB/SK




@Pearson ISBN 10: 0-13-829210-8
ISBN 13: 978-0-13-829210-2

, Contents



Chapter 1 Liquidity Risk 1 Chapter 2 Liquidity and
Leverage 17
1.1 Liquidity Trading Risk 2
1.1.1 The Importance of Transparency 3 2.1 Funding Liquidity Risk 18
1.1.2 Measuring Market Liquidity 4 Maturity Transformation 18
1.1.3 Liquidity-Adjusted VaR 5 Liquidity Transformation 19
1.1.4 Unwinding a Position Optimally 5 Bank Liquidity 20
1.1.5 Other Measures of Market Liquidity 6 Structured Credit and Off-Balance-Sheet
Funding 22
1.2 Liquidity Funding Risk 6
Funding Liquidity of Other Intermediaries 23
1.2.1 Sources of Liquidity 6
Systematic Funding Liquidity Risk 24
1.2.2 Reserve Requirements 9
1.2.3 Regulation 9 2.2 Markets for Collateral 26
Structure of Markets for Collateral 26
1.3 Liquidity Black Holes 11
Economic Function of Markets for Collateral 28
1.3.1 Positive and Negative Feedback
Traders 11 Prime Brokerage and Hedge Funds 29
1.3.2 Leveraging and Deleveraging 12 Risks in Markets for Collateral 29
1.3.3 Irrational Exuberance 13 2.3 Leverage and Forms of Credit
1.3.4 The Impact of Regulation 14 in Contemporary Finance 31
1.3.5 The Importance of Diversity 14 Defining and Measuring Leverage 31
Summary 14 Margin Loans and Leverage 33
Short Positions 34
Further Reading 15
Derivatives 35
Practice Questions and Problems 15 Structured Credit 36
Further Questions 16 Asset Volatility and Leverage 37



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