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Liquidity Risk - The Definitive Methodological Paper - Drehman

 The European Central Bank has this weekend published a working paper which in my view provides the definitve methodological approach to Liquidity Risk analytics for any financial institution.

In my view any consulting firm or software house advising you on Liquidity Risk analytics and NOT referring this paper, is advising you in a "private language"; you should regard this paper as the benchmark against which to qualify and assure yourself that you are being given the right advice. This paper is the methodological blueprint for 'best practice' in Liquidity Risk analysis, just look at the authors and editors; it has had the European "first XI" 'hall of fame' in risk management expertise working on it, reflecting the importance of the issue right now. 

John A Morrison Profile / email John

 

The paper details are as follows;-

 

EUROPEAN CENTRAL BANK WORKING PAPER SERIES NO 1024 / MARCH 2009 

FUNDING LIQUIDITY RISK DEFINITION AND MEASUREMENT

by Mathias Drehmann (BIS) and Kleopatra Nikolaou (ECB)

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