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Basel III – Liquidity Framework – Metrics for monitoring liquidity risk

Besides the two supervisory standards proposed in the Basel III liquidity reforms, the liquidity framework also presents 5 metrics that would be used by banks to monitor their liquidity position on a consistent basis. National supervisory authorities have the discretion of suggesting additional measures that

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Basel III – Liquidity Framework- Net Stable Funding Ratio (NSFR)

Basel III – NSFR In our previous posts we had addressed the Liquidity Coverage Ratio, the short term resilience liquidity standard to be introduced with the Basel III reforms. In this post we discuss the long term supervisory measure for assessing liquidity risk, the Net


Black Scholes Model Probabilities. The difference between N(d1) and N(d2)

On the other hand N(d1) will always be greater than N(d2) because in linking it with the contingent receipt of stock in the Black Scholes equation, N(d1) must not only account for the probability of exercise as given by N(d2) but must also account for the fact that exercise or rather receipt of stock on exercise is dependent on future value