Basel III – Liquidity Framework – Reforms to Global Liquidity Risk Regulations
The Basel Committee has published the liquidity portion of the Basel III reforms to the capital and liquidity framework. These reforms cover the supervisory framework for liquidity risk measurement via two minimum funding liquidity standards. A brief summary of these liquidity ratios is given in the following post:
Introducing the supervisory approach global liquidity ratio standards
This is followed by a more detailed review of each standard in the following posts:
- Liquidity Coverage Ratio (LCR)
Besides these two standards, the framework also presents five metrics that will be used by banks and supervisors as tools for monitoring and tracking the institution’s liquidity position and for identifying signs of early liquidity difficulty and stress. These metrics are discussed in the following post:
Metrics for monitoring liquidity risk.
To view the detailed course description, please click on the link - Basel III – Liquidity Framework – Detailed Course Description.
Learn more about the changes that Basel III will bring to the Basel II capital requirement framework in the following post:
Basel III- Basel II framework revisions
Review ICAAP and related topics with these posts:
- Internal Capital Adequacy Assessment Process (ICAAP) – Overview and Core concepts
- ICAAP Sample Report Template
- Collateral Valuation in Credit Risk Management
- Asset Liability Management
- Liquidity Risk Management Case Studies
- Setting Counterparty Limits, Market Risk Limits & Liquidity and Interest Rate Risk Limits
On-line video courses (view only and downloadable versions) are available for sale at our Finance Course Store for the following ICAAP-related courses:
- Quant Crash Course
- Calculating VaR (Value at Risk) using VCV and Historical Simulation
- Setting Value at Risk (VaR), Stop Loss, Pre Settlement (PSR) and Counterparty Limits
