Module 11.4: Liquidity Position and Sensitivity to Market Risk

Question 1

The Basel III framework introduced two minimum liquidity standards:

Answer 1

Liquidity coverage ratio (LCR)
Net stable funding ratio (NSFR)

Question 2

Liquidity coverage ratio (LCR)

Answer 2

Question 3

Net stable funding ratio (NSFR)

Answer 3

Question 4

Available stable funding

Answer 4

composition and maturity distribution of a bank’s funding sources (i.e., capital, deposits, and other liabilities).

Question 5

Required stable funding

Answer 5

composition and maturity distribution of the bank’s asset base.

Question 6

Sensitivity to Market Risk

Answer 6

Bank earnings are affected by various market risks (e.g., volatility of security prices, currency values, interest rates).