Adrian Buckley

Adrian Buckley is professor of international finance at Cranfield University (UK). He has been a visiting professor at universities all over the world. Today he is involved in the post graduate treasury program of the VU Amsterdam University (Vrije Universiteit) as a visiting professor. Before his academic career he has been corporate treasurer of Redland Plc. He is the author of a lot of articles in professional and academic publications. He is a member of the Association of Corporate Treasurers in London.

Mattheus van der Nat held several positions in Bank Mees & Hope and ABNAMRO BANK. Now he is director of RISKMATRIX, a Dutch firm specialised in training and publishing concerning treasury and finance. In 1993 he was also appointed as a professor of treasury management at the VU University Amsterdam (Vrije Universiteit). He is a member of the Asso­ciation of Corporate Treasurers in London and the Dutch Association of Corporate Treasurers.


Content Posted by Adrian Buckley

Measuring Risk in the Hedge Fund Sector

Recent high correlations among hedge fund returns could suggest concentrations of risk comparable to those preceding the hedge fund crisis of 1998. A comparison of the current rise in correlations with the elevation before the 1998 event, however, reveals a key difference. The current increase stems mainly from a decline in the volatility of returns, while the earlier rise was driven by high covariances—an alternative measure of comovement in dollar terms. Because volatility and covariances are lower today, the current hedge fund environment differs from the 1998 environment.

LIQUIDITY MANAGEMENT, PERFORMANCE MEASUREMENT AND BENCHMARKING

Performance measurement in corporate treasury is the subject of increasing interest.In this paper, we present a summary of the most practical and most important approaches to liquidity management performance measurement in a single currency. The focus is restricted to companies with net debt but similar conclusions would apply in other situations too.Inevitably, a large part of any discussion on liquidity management appraisal revolves around the choice of a benchmark.In this article, we explore approaches to liquidity management assessment in corporate treasury and we pursue that most elusive of will-o-the-wisps, the choice of a benchmark of performance. The sections that follow focus upon the purposes of performance measurement in corporate treasury, main methods of measurement, benchmarking problems, financial market based benchmarks, reference strategy based benchmarks, optimum strategy based benchmarks, benchmarking without a treasury, value-at-risk and conclusions.

10. VALUE-AT-RISK

Performance measurement in corporate treasury is the subject of increasing interest.In this paper, we present a summary of the most practical and most important approaches to liquidity management performance measurement in a single currency. The focus is restricted to companies with net debt but similar conclusions would apply in other situations too.Inevitably, a large part of any discussion on liquidity management appraisal revolves around the choice of a benchmark.In this article, we explore approaches to liquidity management assessment in corporate treasury and we pursue that most elusive of will-o-the-wisps, the choice of a benchmark of performance. The sections that follow focus upon the purposes of performance measurement in corporate treasury, main methods of measurement, benchmarking problems, financial market based benchmarks, reference strategy based benchmarks, optimum strategy based benchmarks, benchmarking without a treasury, value-at-risk and conclusions.

11. CONCLUSIONS

Performance measurement in corporate treasury is the subject of increasing interest.In this paper, we present a summary of the most practical and most important approaches to liquidity management performance measurement in a single currency. The focus is restricted to companies with net debt but similar conclusions would apply in other situations too.Inevitably, a large part of any discussion on liquidity management appraisal revolves around the choice of a benchmark.In this article, we explore approaches to liquidity management assessment in corporate treasury and we pursue that most elusive of will-o-the-wisps, the choice of a benchmark of performance. The sections that follow focus upon the purposes of performance measurement in corporate treasury, main methods of measurement, benchmarking problems, financial market based benchmarks, reference strategy based benchmarks, optimum strategy based benchmarks, benchmarking without a treasury, value-at-risk and conclusions.

2. PURPOSES OF TREASURY PERFORMANCE MEASUREMENT

Performance measurement in corporate treasury is the subject of increasing interest.In this paper, we present a summary of the most practical and most important approaches to liquidity management performance measurement in a single currency. The focus is restricted to companies with net debt but similar conclusions would apply in other situations too.Inevitably, a large part of any discussion on liquidity management appraisal revolves around the choice of a benchmark.In this article, we explore approaches to liquidity management assessment in corporate treasury and we pursue that most elusive of will-o-the-wisps, the choice of a benchmark of performance. The sections that follow focus upon the purposes of performance measurement in corporate treasury, main methods of measurement, benchmarking problems, financial market based benchmarks, reference strategy based benchmarks, optimum strategy based benchmarks, benchmarking without a treasury, value-at-risk and conclusions.

3. METHODS OF LIQUIDITY PERFORMANCE MANAGEMENT

Performance measurement in corporate treasury is the subject of increasing interest.In this paper, we present a summary of the most practical and most important approaches to liquidity management performance measurement in a single currency. The focus is restricted to companies with net debt but similar conclusions would apply in other situations too.Inevitably, a large part of any discussion on liquidity management appraisal revolves around the choice of a benchmark.In this article, we explore approaches to liquidity management assessment in corporate treasury and we pursue that most elusive of will-o-the-wisps, the choice of a benchmark of performance. The sections that follow focus upon the purposes of performance measurement in corporate treasury, main methods of measurement, benchmarking problems, financial market based benchmarks, reference strategy based benchmarks, optimum strategy based benchmarks, benchmarking without a treasury, value-at-risk and conclusions.

4. BENCHMARKING PROBLEMS

Performance measurement in corporate treasury is the subject of increasing interest.In this paper, we present a summary of the most practical and most important approaches to liquidity management performance measurement in a single currency. The focus is restricted to companies with net debt but similar conclusions would apply in other situations too.Inevitably, a large part of any discussion on liquidity management appraisal revolves around the choice of a benchmark.In this article, we explore approaches to liquidity management assessment in corporate treasury and we pursue that most elusive of will-o-the-wisps, the choice of a benchmark of performance. The sections that follow focus upon the purposes of performance measurement in corporate treasury, main methods of measurement, benchmarking problems, financial market based benchmarks, reference strategy based benchmarks, optimum strategy based benchmarks, benchmarking without a treasury, value-at-risk and conclusions.

5. FINANCIAL MARKET BASED BENCHMARKS

Performance measurement in corporate treasury is the subject of increasing interest.In this paper, we present a summary of the most practical and most important approaches to liquidity management performance measurement in a single currency. The focus is restricted to companies with net debt but similar conclusions would apply in other situations too.Inevitably, a large part of any discussion on liquidity management appraisal revolves around the choice of a benchmark.In this article, we explore approaches to liquidity management assessment in corporate treasury and we pursue that most elusive of will-o-the-wisps, the choice of a benchmark of performance. The sections that follow focus upon the purposes of performance measurement in corporate treasury, main methods of measurement, benchmarking problems, financial market based benchmarks, reference strategy based benchmarks, optimum strategy based benchmarks, benchmarking without a treasury, value-at-risk and conclusions.

6. REFERENCE STRATEGY BASED BENCHMARKS

Performance measurement in corporate treasury is the subject of increasing interest.In this paper, we present a summary of the most practical and most important approaches to liquidity management performance measurement in a single currency. The focus is restricted to companies with net debt but similar conclusions would apply in other situations too.Inevitably, a large part of any discussion on liquidity management appraisal revolves around the choice of a benchmark.In this article, we explore approaches to liquidity management assessment in corporate treasury and we pursue that most elusive of will-o-the-wisps, the choice of a benchmark of performance. The sections that follow focus upon the purposes of performance measurement in corporate treasury, main methods of measurement, benchmarking problems, financial market based benchmarks, reference strategy based benchmarks, optimum strategy based benchmarks, benchmarking without a treasury, value-at-risk and conclusions.

7. OPTIMUM STRATEGY BASED BENCHMARKS

Performance measurement in corporate treasury is the subject of increasing interest.In this paper, we present a summary of the most practical and most important approaches to liquidity management performance measurement in a single currency. The focus is restricted to companies with net debt but similar conclusions would apply in other situations too.Inevitably, a large part of any discussion on liquidity management appraisal revolves around the choice of a benchmark.In this article, we explore approaches to liquidity management assessment in corporate treasury and we pursue that most elusive of will-o-the-wisps, the choice of a benchmark of performance. The sections that follow focus upon the purposes of performance measurement in corporate treasury, main methods of measurement, benchmarking problems, financial market based benchmarks, reference strategy based benchmarks, optimum strategy based benchmarks, benchmarking without a treasury, value-at-risk and conclusions.