Basel Committee on Banking Supervision---The Joint Forum:The management of liquidity risk in financial groups (Bank for International Settlements May 2006) pdf格式 25页
Contents
I. Introduction.............................1
II. Key observations.........................1
III. Liquidity risk management....................3
(i) Centralisation vs decentralisation..........................3
(ii) Metrics used for liquidity risk management...........................4
(iii) Cross-border issues...............................4
(iv) Cross-currency issues.......................5
(v) Cross-affiliate issues.......................5
IV. Regulatory impact................................6
V. Sources of liquidity strain................6
(i) Event-driven sources......................6
(ii) Transaction- and product-driven sources......................7
(iii) Market trends................................8
VI. Stress testing........................................8
(i) Liquidity stress testing at the group and subsidiary levels............8
(ii) Stress testing scenarios....................9
VII. Contingency funding plans.............................13
(i) General features.............................13
(ii) General assumptions underlying CFPs................13
(iii) Mechanisms for cross-border transfers...............15
(iv) Responses to the potentiality of breakdowns in mechanisms........16
Annex: Members of the Working Group on Risk Assessment and Capital..........17
另有两篇如下论文:
Credit Risk Transfer (October 2004)pdf格式 83页
Credit Risk Transfer (March 2005)pdf格式 103页