流动性风险监管框架课品.pptVIP

Liquidity Risk – Regulatory Framework Vincent Baritsch Wholesale and Prudential Policy Division UK Financial Services Authority Overview Current FSA regimes Qualitative Quantitative Problems FSA ideas for change and DP24 International developments Challenges Stress testing and contingency funding plans – SYSC 11 applying to all CRD firms New requirements in force since end-2004, amended for CRD Apply to deposit-takers, insurers, all BIPRU investment firms A firm must carry out stress tests and scenario analyses for liquidity risk … … and must estimate the resources it would need in each