This paper provides a framework for comparing linked and unlinked central counterparty (CCP) configurations in terms of total netting achieved by market participants and the total system default exposure...
The level of intraday liquidity needed for settlement varies according to settlement methods. This paper analyzes the effects of the shift from deferred net settlement to real-time gross settlement (RTGS)...
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Bilateral CVA of optional early termination clauses
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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.