ICAAP: Aggregating Risk: Copulas
3 mins read Copulas are functions that link univariate marginal distributions to a multivariate distribution.
3 mins read Copulas are functions that link univariate marginal distributions to a multivariate distribution.
< 1 min read liquidity risk management framework training video session covering the origins of a liquidity crisis
< 1 min read Ever since we started preparing ICAAP (Internal Capital Adequacy Assessment Process) submission reports the two areas where clients had the
7 mins read Capital estimation for Liquidity Risk Management is a difficult exercise. It comes up as part of the internal liquidity risk management process as well as the internal capital adequacy assessment process (ICAAP). This post and the liquidity risk management series that follows suggests a framework for ongoing discussion based on the work done by our team with a number of regional banking customers
< 1 min read Timeline 20 December 2007: BS records 4th quarter loss, writes down mortgage assets of $1.9 billion. Sued by Barclays for
6 mins read Liquidity Risk management: Bear Stearns Liquidity crisis Case Study: The Liquidity Run cycle When property values began to plummet in