流动性风险管理intradayliquidityrisk

《流动性风险管理intradayliquidityrisk》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、日间流动性风险管理Monitoringindicatorsforintradayliquiditymanagement杜先立2012.71©2010QuantitativeRiskManagement,Inc.ContentsSectionI:backgroundSectionII:Indicators--normaltimesSectionIII:Indicators--stressscenariosSectionIV:Keyapplicationissues2©2010QuantitativeRiskManagement,Inc.巴塞尔银

2、行委员会：日间流动性管理监控指标3©2010QuantitativeRiskManagement,Inc.PrinciplesforSoundLiquidityRiskManagementandSupervision，2008Principle8oftheSoundPrinciplesfocusesspecificallyonintradayliquidityriskandstatesthat:“Abankshouldactivelymanageitsintradayliquiditypositionsandriskstomeetpaymentand

3、settlementobligationsonatimelybasisunderbothnormalandstressedconditionsandthuscontributetothesmoothfunctioningofpaymentandsettlementsystems.”4©2010QuantitativeRiskManagement,Inc.Principle8identifiessixoperationalelements--abank’sstrategyformanagingintradayliquidityrisk(1)havet

4、hecapacitytomeasureexpecteddailygrossliquidityinflowsandoutflows,anticipatetheintradaytimingoftheseflowswherepossible,andforecasttherangeofpotentialnetfundingshortfallsthatmightariseatdifferentpointsduringtheday;havethecapacitytomonitorintradayliquiditypositionsagainstexpected

5、activities,andavailableresources(balances,remainingintradaycreditcapacity,availablecollateral);5©2010QuantitativeRiskManagement,Inc.Principle8identifiessixoperationalelements--abank’sstrategyformanagingintradayliquidityrisk(2)arrangetoacquiresufficientintradayfundingtomeetitsi

6、ntradayobjectives;havetheabilitytomanageandmobilisecollateralasnecessarytoobtainintradayfunds;havearobustcapabilitytomanagethetimingofitsliquidityoutflowsinlinewithitsintradayobjectives;andbepreparedtodealwithunexpecteddisruptionstoitsintradayliquidityflows.6©2010Quantitativ

7、eRiskManagement,Inc.BaselIII:Internationalframeworkforliquidityriskmeasurements,standardsandmonitoringTheframeworkiscentredupontwonewminimumliquiditystandards:theLiquidityCoverageRatio(LCR)andtheNetStableFundingRatio.AlthoughtheLCRisdesignedtopromotetheshorttermresilienceofaban

8、k’sliquidityprofile,itdoesnotcurrentlyincludeintradayl