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Liquidity Risk - The Sharp End Issue of the Credit Crunch in 2008

Liquidity Risk is a confused topic (from a supervisory or B2 perspective)

because it has not been clear whether this is a risk type to be treated qualitatively or quantitatively through the development of the Basel II (B2) accords. In the initial months after the first Basel Accords were published most European regulators discussed the challenge of Liquidity Risk in qualitative terms. Latterly however the emphasis has been on the need for regulated financial institutions (FI) to stress test this aspect of Market Risk. This stress testing requirement demands that Liquidity Risk be treated quantitatively, from the perspective of a methodological approach to capturing how the FI’s exposure to this risk may fluctuate under extreme conditions.

Martin Baxter - Counterparty Credit Risk - SFRA Scottish Financial Risk Academy presentation

Martin Baxter, Nomura International, presented Counterparty Credit Risk at the Scottish Financial Risk Academy (SFRA) Inaugural Colloquium in Edinburgh on the 4 November 2010.

BIS - Joint Forum recommends improvements in risk aggregation models

The report suggests improvements to the current modelling techniques used by complex firms to aggregate risks. It also examines supervisory approaches to firms' use of risk aggregation models, particularly in light of the global financial crisis.

 

Mr Tony D'Aloisio, Chairman of the Joint Forum and Chairman of the Australian Securities and Investments Commission, said "This report is essential reading for firms considering ways to make more effective use of risk aggregation methods, and for supervisors wanting to understand firms' use of risk aggregation models to help identify shortcomings in a firm's approach."

Market Risk: Solving for Basel II and IFRS7 with SIAG

coins madridMarket (Price) Risk - Abstracting the Liquidity Component

Market Risk is different. Liquidity Risk is different even further. Conceptually they are in bed together, although Liquidity risk has risen up the food chain recently as the impregnability of the banking book has been seen to be a chimera as the tide of the crisis went out. One thing is for certain these are the two biggest headaches from Bishopsgate to the Barbican. The Liquidity risk story is well documented here so this blog has a focus on the Market Risk (Price) problem and how to solve it for its two currently key variables – Basel II and IFRS7.

The changes to the market risk framework will increase average trading book capital requirements by two to three times

QUOTE: The changes to the market risk framework will increase average trading book capital requirements by two to three times their current levels

Transparency Clearing & Regulation of Derivative Securities

 

Transparency Clearing & Regulation of Derivative Securities 

 

basking shark close

 

 

 

 

 

 

 

 

 

 

 

 

'ON EXCHANGE'

The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord

The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord

Jack Sparrow: “The only rules that really matter are these: what a man can do and what a man can’t do.”
Elizabeth: “You’re pirates. Hang the code, and hang the rules. They’re more like guidelines anyway.”
Jack Sparrow: “I thought you were supposed to keep to the code.”
Mr. Gibbs: “We figured they were more actual guidelines.”

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