Liquidity risk
Regulators hope changes will end LCR debate
A raft of changes is in the offing for the controversial liquidity coverage ratio as regulators try to meet a year-end deadline – but it may not appease critics of the rule. Michael Watt reports
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s...
Tougher liquidity reporting standards imposed by the Australian regulator won't be a problem for the country's four main banks
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More Liquidity risk articles
Risk USA: Citi hopes to revive crisis derivatives product as ETF
Liquidity hedge plan was shelved after Risk article generated criticism. Now it's back, but as an exchange-traded fund
Optimising retail deposit pricing
Banks are holding more retail deposits and also paying more for them – a recipe for reduced funding risk but also reduced profitability. Wei Ke, Ben Snowman, Ada Pham and Jens Baumgarten argue banks can mitigate the latter effect by analysing customer...
Sponsored webinar: Ernst & Young
A panel of industry experts discuss the implications of Basel capital and liquidity requirements for the banking sector
Proposed intraday liquidity reports ‘not feasible’, banks say
Basel Committee's proposed new reports on daily liquidity needs would involve "thousands upon thousands" of data points, according to critics
UK banks reveal size of eurozone funding gaps
Banks reduce cross-border funding of peripheral eurozone assets in an attempt to mitigate redenomination risk - but funding gap still tops £10 billion for Spain
Adjusting value-at-risk for market liquidity
Liquidity remains a key risk factor in many portfolios, but quantifying it remains an open question. Here, David Cosandey offers a new macroeconomic approach to quantifying liquidity risk based upon trading volume, and incorporates it into VAR, testing...
HKMA offers banks RMB repo facility
RMB repo facility established as part of continuing process to internationalise currency and deepen RMB markets
Using market and credit risk analytics to strengthen performance
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