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1、BankAsset／LiabilityManagementVol.24,No.6June2008SCITMPreparedbyMaryBrookhartInThisIssue:LiquidityRiskMeasurementTechniquesandStressTests??LiquidityRiskMeasurementTechniquesandStressTests—FormulationofLiquidity—FormulationofLiquidityStressTestScenarios...............................
2、.........1StressTestScenarios??InterfacingALMwithStrategicPlanning.....5Havingestablishedanunderstandingoftheliquidityriskmeasurementtechniquesandwhichpotentialanalytical??ARefresheronDurationandConvexity.......6techniquestoapplyintheformulationofliquiditystresstestingmethodology(s
3、eethecontinuingseriesofarticles,BALMMarchthroughMay2008),thispenultimatearticleexplorestheformulationofliquiditystressscenarios.EditorialBoard:Thisarticleattemptstoprovideapracticalapproachtodefineandparameterizeliquiditystressscenarios.GeorgeK.Darling,DarlingConsultingGroupThomasD
4、ay,SunGardLiquidityStressScenarioFormulation.StresstestingGregoryW.Doner,FIMACSolutonsLLCforliquidityriskenablesriskmanagersandfinancialDavidEaston,BankofAmericafirms’managementtodeterminethepotentialfuturenetMarkEvans,Vining-SparksIBGfundingrequirementsundervaryingconditions.Inthe
5、previousarticles,itwasmadeclearthatstresstestingOrlandoB.Hanselman,IPS-SenderoInstitutionfacilitatesthebridgingbetweenconventionalriskmea-IraG.Kawaller,KawallerandCo.,LLCsurementandeffective,adequate,androbustmeasure-AlanKolosna,PerimeterFirstBank,I.O.mentofliquidity.Stresstestingi
6、sincreasinglybecomingJonKozlowski,ProfitStars–aJackHenryCompanyakeyriskmanagementprocessthatcomplimentssoundWilliamMcGuire,McGuirePerformanceSolutions,Inc.managementandcontingencyplanning;itisalsorecom-mendedandrequiredbyregulators.StresstestingmakesDeedeeMyers,DDJMyersLtd.provisio
7、nsforvariedbutplausiblesituationsthroughFredPoorman,Jr.,CFA,TheALMNetworkscenarioanalysiswiththesinglegoalofbeingpreparedforpotentialliquidityproblems.Mostimportantly,stresstestingenablesthemakingofappropriateliquidityman-agementdecisionstoensurethebankcanwithstandsucheventsorscena
8、rioswithoutgoingbankruptdu
