Measuring and Managing Liquidity Risk

About the authors

Antonio Castagna is currently partner and co-founder of the consulting company Iason Ltd, focusing on the design of models to price complex derivatives and to measure financial, liquidity and credit risks. Previously he was with Banca IMI Milan, from 1999 to 2006, where he first worked as a market maker of caps/floors and swaptions and then he set up the FX options market-making desk. He started his career in 1997 at IMI Bank Luxembourg, in the Risk Control Department. He graduated in Finance at LUISS University in Rome in 1995. He has written papers on different issues, including credit derivatives, managing exotic options risks and volatility smiles and is also the author of FX Options and Smile Risk, Wiley.

Francesco Fede is a graduate of the LUISS University of Rome. He has worked for IMI Bank Luxembourg as financial controller and risk manager since 1996. In 1998 he moved to Banca IMI Milan, where he started his career as short-term interest derivative trader in 2001. Since then, he has covered many tasks in Treasury and ALM activities. Currently he is the head of the Market Treasury desk of Banca IMI. Over the last couple of years he has focused on the pricing of liquidity risk for structured loans and derivative products, and on the impact of liquidity risk on both the trading book and banking book.