On page 363 of the official Liquidity Risk book, we have below table, can someone help me understand the #2 point under the "possible management responses" column?
My understanding is when we have a positive gap, we should reduce asset maturity or increase liab maturity, why the book says the...
Learning objectives: Distinguish between deterministic and stochastic cash flows and provide examples of each. Describe and provide examples of liquidity options and explain the impact of liquidity options on a bank’s liquidity position and its liquidity management process. Define liquidity...
Hi @David Harper CFA FRM,
Hope you are doing great!!!
Dowd Chapter 14: Estimating Liquidity Risks
I wanted to understand about how we compute liquidity cost? Why we divide spread by half by saying we assume we are not buying and selling at the same time, I mean what does that mean?
What I...
Learning objectives: Define liquidity risk and describe factors that influence liquidity, including the bid-ask spread. Differentiate between exogenous and endogenous liquidity. Describe the challenges of estimating liquidity-adjusted VaR (LVaR). Describe and calculate LVaR using the constant...
Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
How can funding liquidity risk be converted from counter party risk? I can't get it in Gregory Chapter 5. Also, can anyone clear me on this' the institution will incur a funding cost when uncollateralized trade moves in their favor and experience a benefit when reverse happens'.
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