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SUMMARY:Funding liquidity from a regulatory perspective - Heam\, J-C (Auto
 rit de Contrle Prudentiel (ACPR))
DTSTART:20140924T103000Z
DTEND:20140924T111500Z
UID:TALK54490@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-author: Christian Gourieroux (CREST and University of Toron
 to) \n\nIn the Basel regulation\, only the uncertainty on the asset price 
 or on the default of borrowers is considered while the uncertainty about d
 epositors or investors behaviors on the liability side is neglected. In co
 ntrast\, we consider risks on both the asset and liability sides. We adapt
  usual risk measures\, such as Value-at-Risk or Probability of Default\, t
 o disentangle the losses due to liquidity shortage from the losses due to 
 a lack of solvency. Applied to US data\, these additional terms are signif
 icant when shocks on prices and volumes are correlated. Consequently\, the
  regulatory reserves for solvency risk cannot be set independently of the 
 reserves for liquidity risk. We show how to set and manage jointly two res
 erve accounts to control the different risks.\n
LOCATION:Seminar Room 1\, Newton Institute
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