Stress testing / Liquidity and funding risk [52]

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Bullet points include: Draw down risk: in many cases committed lines crudely modelled based on (at best) historically observed probabilities, without any deeper analysis Likewise liability withdrawal risk: risk of withdrawal driven substantially by who is deposing the money and for what purpose Hold to maturity versus fixed horizon: for steadily increasing parts of the business, legal maturity may differ significantly from economic or liquidity relevant maturity E.g. project finance positions may amortise much faster than expected Optimistic asset liquidity analysis: experience during recent crisis indicates that many assumptions on asset liquidity (if performed at all) were overly optimistic

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