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Stress testing / Liquidity and funding risk [40]

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Bullet points include: Cash flow and maturity ladders Ideally, multistep liquidity analysis, based on future: Deterministic cash flows based on contractual maturity Modelled cash flows for deals with non-defined maturities Optional cash flows from deals where inflows/outflows are expected but not certain Ideally covering all assets, liabilities and off balance sheet items (of all types) Also ideally include impact of potential new business, to identify prudent forecasts of the bank’s liquidity needs for the periods under analysis

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