Yan, Meilan; Hall, Maximilian J. B.; Turner, Paul - School of Business and Economics, Loughborough University - 2011
Exposure-Based Cash-Flow-at-Risk (CFaR) model, which not only measures a bank's liquidity risk tolerance, but also helps to … six biggest UK banks, only the HSBC maintains positive CFaR with 95% confidence, which means that there is only a 5 … its downside cash flow (i.e. CFaR) and expected cash flow. …