The Liquidity Risk Book

 

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Thursday
Mar062014

2014/02/11, Helsinki: "Reporting and Managing Liquidity Risk" at the Likviditeetin Hallinta:

posted: DateThursday, March 6, 2014 at 4:11PM

Reporting and managing liquidity risk with the LCR

•Economic liquidity risk: illiquidity risk and liquidity induced value risks
•Illiquidity risk: uncertainty and term-structuredness of cash flows and inventories
•The substitute for capital: the CounterBalancing Capacity (CBC)
•Regulatory view: the LCR of Basel III as a simplified measure for illiquidity risk
•The mechanics of the Total Net Cash Outflows of the LCR
•The High Quality Liquifiable Assets and the cost of the liquidity portfolio
•Economic and regulatory (LCR) liquidity risk as elements of internal transfer prices
•Managing the LCR: Current-, Forward- and Future-LCR
•Simulating the balance sheet from a liquidity risk perspective

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