Liquidity Coverage Ratio – The Denominator
3 mins read Total Net Cash Outflows In our previous post on the reforms being brought to the liquidity framework by Basel III,
Liquidity Coverage Ratio – The Numerator
3 mins read Value of Stock of High Quality Liquid Assets In our previous post on the reforms being brought to the liquidity
Supervisory Approach to Liquidity Ratio Standards
2 mins read According to the reforms to the capital and liquidity framework, Basel III would require the banking sector to maintain and
Setting Risk Limits: Worst Case Loss versus Most likely loss
2 mins read I recently ran a presentation for a client where I had to justify setting risk limits at a pre-defined threshold
ICAAP: Internal Capital Adequacy Assessment: Strategic and Liquidity Risk: The missing links
< 1 min read Ever since we started preparing ICAAP (Internal Capital Adequacy Assessment Process) submission reports the two areas where clients had the
ICAAP: Stress Test: Liquidity Risk
2 mins read We cover some of the ways in which liquidity risk may be stress tested under the Internal Capital Adequacy and Assessment Process (ICAAP). These involve simple sensitivity analysis techniques, such as applying liquidity and interest rate shocks to the assets and liabilities of the bank.