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Links  »  Liquidity Risk

General

"Liquidity risk management - Best risk management practices" - Chief Risk Officer Forum, October 2008

"How valuable is liquidity?" - UK Actuarial profession liquidity working party paper, May 2008.

Presentation to the 2008 Life Convention by the liquidity working party.

“Liquidity Risk and the Global Financial Crisis” – October 2009 presentation to the UK Actuarial profession as part of its “Our Changing Future” series and also its 2009 Life Insurance Convention

"Report of the US President's Working Group on Financial Markets: Money Market Fund Reform Options" (October 2010) - reviews risks faced by money market funds and problems which arose on these in the recent crisis

"The Great Unwind" - August 2013 Risk magazine article on the decline in corporate bond liquidity, noting inter alia the sharp decline in US market maker bond inventories from $235bn in October 2007 to $55bn by March 2013

"Will there be a corporate bond fund liquidity crisis?" - August 2012 Money market article on inflows into corporae bond funds and what may happen if these reverse

  

Life insurance

"Liquidity management in UK life insurance. A discussion paper" - 2005 paper by P.O.J. Kelliher, D.L. Bartlett, M. Chaplin, K. Dowd and C.D. O'Brien, 2005 giving an introduction to liquidity risk in UK life insuance

"Report of the Life Liquidity Work Group" - September 2000 paper by the American Academy of Actuaries covering amongst other things the liquidity strains which brought General American to its knees the previous year 

 

Banking 

"PS09/16: Strengthening liquidity standards" - October 2009 FSA policy statement covering banking and investment (BIPRU) firms and including feedback on CP08/22 CP09/13 and CP09/14

Basel Committee papers on liquidity risk:

"Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools", January 2013 - update to;

"Basel III: International framework for liquidity risk measurement, standards and monitoring", December 2010 which in turn followed on from the December 2009 consultation paper: 

"International framework for liquidity risk measurement, standards and monitoring"

"Principles for Sound Liquidity Risk Management and Supervision - final document", September 2008 (includes links to previous Basel papers on liquidity risk management)

Committee of European Banking Supervisors (CEBS) liquidity risk papers

"CEBS's technical advice on liquidity risk management - part I", August 2007

"CEBS's technical advice on liquidity risk management - part II", September 2008

"Reflections on modern bank runs: A case study of Northern Rock" - August 2008 paper by Hyun Song Shin of Princeton University highlighting the liquidity risks run by Northern Rock.

 

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