Basel III - International Framework for Liquidity Risk Measurement
About the Lecture
The lecture Basel III - International Framework for Liquidity Risk Measurement by Edu Pristine is from the course Archiv - Operational Risk. It contains the following chapters:
- AIM Statements
- Minimum Liquidity Coverage Ratio
- High Quality Assets
- Net Cash Outflows
- Drain on Bank´s Liquidity
- Net Stable Funding Ratio
- Stable Funding
- Sources of Stable Funding
- Practical Applications of Prescribed Liquidity Monitoring Tools
Author of lecture Basel III - International Framework for Liquidity Risk Measurement
Edu Pristine
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Excerpts from the accompanying material
... minimum liquidity coverage ratio. Define and describe the net stable funding ratio. Define and describe ...
... the stock of high-quality liquid assets in stressed conditions Total net cash outflows, calculated according to the scenario parameters outlined below 2 % ...
... liquid assets are: High credit standing of the issuer and low market risk Certain valuation Low correlation ...
... off balance sheet commitments X rates at which they are expected to run off. Inflows = outstanding balances of various types ...
... of unsecured wholesale lending. Losses of secured short term funding. Outflows that result from downgrading of a bank's public ...
... reliance on short-term wholesale funding during times of buoyant market liquidity and encourage better assessment of liquidity risks across all on- and off-balance ...
... time horizon under conditions of extended stressed. Amount of stable funding required vary from institution to institution depending upon their liquidity ...
... deposits that are expected to stay with the bank in the times of extended stress. The proportion of wholesale funds ...
... for defined time bands. This indicates how much of the liquidity needs to be raised if all the outflows occurred at the earliest possible date. Banks are required to provide the raw data without any assumptions to the supervisors. The ...
... problems for a bank. Definitions of concentration of funding ratio: 1. 2. 3. List of asset and ...
... available unencumbered assets are marketable as collateral in secondary markets and or eligible for central bank's standing facilities. The metric doesn't capture ...
... significant currencies. A currency is considered as "significant" if the aggregate liabilities denominated in the currency amount to ...
... Market related monitoring tools High-frequency market data with little or no lag is used as an early ...
