Liquidity Stress Testing a fixed income securities portfolio How do you manage liquidity risk for a fixed income portfolio. How do you stress test liquidity risk for the same fixed income book. What are the primary drivers used in the liquidity stress testing model? There
liquidity risk management framework training video session covering the origins of a liquidity crisis
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
Liquidity Risk Management: Bear Stearns Liquidity Run Case Study Timelines 20 December 2007: BS records 4th quarter loss, writes down mortgage assets of $1.9 billion. Sued by Barclays for misleading hedge fund performance 28 December 2007: Employees sell BS stock worth $ 20 million Early
Liquidity Risk management: Bear Stearns Liquidity crisis Case Study: The Liquidity Run cycle When property values began to plummet in 2006-2007, subprime mortgage payers defaulted on their payments which initiated a chain reaction whereby there was a significant drop in the cash inflows from these
Asset Liability Management (ALM) includes effective liquidity management. One way of assessing a bank’s exposure to liquidity risk is to consider the gaps that exist between its assets and liabilities for pre-defined time buckets, and then calculate the cost that would be incurred to close
This advanced level workshop serves as a refresher to liquidity management, with an emphasis on traditional models including gap analysis andearnings at risk, stress testing, scenario planning, policy making and simulations. 1. COURSE OBJECTIVES At the end of this workshop the participants will be able
A methodology to measure the liquidity risk that a bank is exposed to: the Cost-to-Close Liquidity Gap technique.
Duration is a measure of how rapidly the prices of interest sensitive securities change as the rate of interest changes (see application example in the ALM section). For example, if the duration of a security works out to 2 this means that for a 1% increase in interest rates the price of the instrument will decrease by 2%. Similarly, if the interest rates were to decrease by 1% the price of the security would increase by 2%.
ALM reports – a short review A quick review of a number of Asset Liability Management (ALM) reports used by the banking and financial services industry in the world. The tools covered in this note include Rate Sensitive Gap, Earnings at Risk, Cost to Close