The financial crisis at the end of last decade has called for a comprehensive liquidity risk management framework. The challenge not only lies in finding appropriate liquidity risk measures but more importantly how to apply these measures to implement a risk based liquidity management. A core...

Portfolio risk measures such as Value at Risk is traditionally measured using a buy and hold assumption on the portfolio. In particular the 10-day market risk capital is commonly measured as the 1-day Value at Risk scaled by the square root of 10. While this scaling is convenient to obtain n-day...

The management of a liquid asset portfolio that can be used to generate counterbalancing capacity in liquidity distress is quickly emerging as a core function in banks. The new Basel III liquidity risk regulation underscores the importance in banks managing a liquidity contingency buffer. The...