Zurich-based reinsurer Swiss Re has admitted a loss of SFr1.2 billion ($1.07 billion) caused by a fall in the market value of two credit default swaps (CDSs) referenced to a trading portfolio contai...
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This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.