流动性风险(liquidity risk).pptVIP

* Available unencumbered assets This metric provides supervisors with data on the quantity and key characteristics, including currency denomination and location, of banks’ available unencumbered assets. These assets have the potential to be used as collateral to raise additional secured funding in secondary markets and/or are eligible at central banks and as such may potentially be additional sources of liquidity for the bank. * LCR by significant currency While the standards are required to be met in one single currency, in order to better capture potential currency mismatches, banks and supervisors should also monitor the LCR in significant currencies. This will allow the bank and the supervisor to track potential currency mismatch issues that could arise. * Market-related monitoring tools High frequency market data with little or no time lag can be used as early warning indicators in monitoring potential liquidity difficulties at banks. * 德意志銀行之壓力測試 The bank then models the steps it would take to counterbalance the resulting net shortfall in funding, which include selling assets and switching from unsecured to secured funding. For each scenario, the table shows the cumulative funding gap over an eight-week horizon, in billions of euros, and how much counterbalancing liquidity could be generated. * 壓力測試---Deutsche Bank Scenario Funding Gap Gap Closure Market risk 5.5 98.9 Emerging markets 27.7 117.1 Systemic shock 20.4 70.9 Operational risk 13.9 106.7 One-notch downgrade 28.1 129.3 Three-notch downgrade 108.6 129.3 * Northern Rock’s Liquidity Risk Northern Rock (NR) is a bank that was counted among the top five mortgage lenders in Britain. NR’s business model was unusually reliant on funding from capital markets instead of retail deposits. Capital market funding, is more volatile than retail deposits. The bank had used this unusual structure to fuel its fast growth. * Northern Rock’s Liquidity Risk During August 2007, NR started to run into difficulties rol