The Liquidity Risk Book


Go to the website of Incisive Media (RiskBooks)


2014/05/26, Zürich: workshop "Capital & Liquidity Risk Management under CRD IV"


New Paper "Liquiditätsregeln Korrigiert"

Wesentlicher Bestandteil von Basel III sind die Liquiditätsregeln. Die Anfang 2013 gefassten Beschlüsse der internationalen Aufseher sehen erhebliche Modifikationen der kurzfristigen Liquiditätsdeckungsquote vor.

Anhand einer „fiktiven“ Bank zeigen Dr. Robert Fiedler und Dr. Silvio Andrae in den Betriebwirtschaftliche Blättern, welche Auswirkungen die Änderungen haben.


New Paper "Basel III: Solving the Liquidity Business Challenge"

A new paper by Robert Fiedler and Michael Mahlknecht has been published in the Capco Journal.

The new Basel III rules for liquidity and funding will have an impact on several areas of the banking business. As a consequence, it is useful to identify the key areas within a bank where Basel III has the biggest impact and to define the necessary strategies, processes, and new products to tackle the individual business challenges. While this allows the consideration of specific topics, a well-structured and consistent approach requires a general and overarching view, which encompasses and integrates all individual areas. The paper gives an overview of the strategies that banks all over the world are currently discussing; focusing on funds transfer pricing (FTP), the active steering of LCR and NSFR, deposit analysis and according strategies, as well as assets and investment products. Finally a structured approach for the strategic analysis and implementation of business changes is briefly outlined.


2nd Edition of Liquidity Risk Modeling in stock now - ready to be delivered


LRC Presenting its Liquidity Stress Testing Methodology to the Basel Committe

LRC presented on Friday 20Jul2012 in Basel at the BIS its stress testing methodology for liquidity risk to the Research Task Force of the Basel Committee. A white paper is on its way.


New Paper on the Website: The Liquifiability Index (LiX) of a Security

A new version of the "The Liquifiability Index (LiX) of a Security" can be downloaded