Liquidity Risk Management - MCO Assumptions (Maximum Cumulative Outflow)

[kenwu]

Hi Everyone,

for banking liquidity risk management, how do you setup your assumptions for your maximum cumulative outflow or liquidity gap? is there a standard for setting up MCO assumptions? many thanks. would really appreciate your suggestions and advices regarding this.

Best regards,
Ken

 

[edmondclchou]

You may refer this link: https://www.iosco.org/library/pubdocs/pdf/IOSCOPD128.pdf
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