Random drawing might fill gaps in liquidity risk data
HypoVereinsbank risk controller proposes bootstrapped approach to liquidity stress testing
Adopting a bootstrapped approach to liquidity stress testing could help banks overcome a lack of historical data on liquidity risk drivers – a common problem that has hampered their ability to conduct stress tests.
The approach is proposed in an October 2015 paper in the Journal of Risk Model Validation by Marco Geidosch, a risk controller at HypoVereinsbank in Munich. His work reflects the fact
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Allocating financing costs: centralised vs decentralised treasury
Centralisation can aid capital efficiency and ROE, particularly in collateralised financing, says Sachin Ranade
EVE and NII dominate IRRBB limit-setting
ALM Benchmarking study finds majority of banks relying on hard risk limits, and a minority supplementing with early-warning indicators
Banks split over AI risk management
Model teams hold the reins, but some argue AI is an enterprise risk
Collateral velocity is disappearing behind a digital curtain
Dealers may welcome digital-era rewiring to free up collateral movement, but tokenisation will obscure metrics
New EBA taxonomy could help integrate emerging op risks
Extra loss flags will allow banks to track transversal risks like geopolitics and AI, say experts
Third of banks run ALM with five or fewer staff
Across 46 firms, asset-liability management is usually housed in treasury, but formal remits and staffing allocations differ sharply
One Trading brings 24/7 equity trading to Europe
Start-up exchange will launch perpetual futures Clob in Q1 after AFM nod
Credit spread risk: the cryptic peril on bank balance sheets
Some bankers fear EU regulatory push on CSRBB has done little to improve risk management
