Liquidity & Funding Risk 2013: Modelling endangers LCR, panellists warn


The new liquidity coverage ratio (LCR) may be undermined if banks are allowed to model their own risks – a prospect mooted for derivatives collateral calls by the European Banking Authority (EBA) in May. Internal models are already under fire for producing wildly differing capital numbers from bank to bank, and delegates at yesterday's Liquidity & Funding Risk conference in London warned the same could happen if the LCR's standardised risk factors are supplemented with bank estimates.


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