1. D

    Net Interest Margin question

    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...
  2. Nicole Seaman

    P2.T8.20.9. Monitoring liquidity (Castagna Ch.6)

    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...
  3. J

    Liquidity Cost

    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...
  4. Nicole Seaman

    P2.T7.807. Estimating liquidity-adjusted value at risk (LVaR) (Dowd)

    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...
  5. Nicole Seaman

    P2.T7.707. Leverage, liquidity risk, and liquidity-adjusted value at risk (LVaR)

    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's typical question such that the intended difficulty level is nearer to an...
  6. Arka Bose

    Funding liquidity risk

    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'.