/


Stress testing / Liquidity and funding risk [50]

Go to: Summary | Previous | Next   
Bullet points include: All liquidity positions (both at individual subsidiary bank and at group level) should be included A typical weak spot was exclusion of off-balance sheet vehicles (SPVs, SPEs, such as ABCP vehicles supported by a liquidity line) Also, liquidity implications of all products and businesses within the bank need to be treated consistently (and symmetrically) Sometimes, liquidity risk was only measured for externally facing units

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series


Desktop view | Switch to Mobile