SOA QFI Track 参考书超全大合集

https://bbs.pinggu.org/thread-6906828-1-1.html

文章名称：Liquidity Risk Management - Best Risk Management Practices

作者：CRO Forum

出版日期：Ooctober 2008

共23p，文字版（非扫描版）彩色PDF

目录：

1.Executive Summary .........................................................................................4

2.Introduction ......................................................................................................5

3.Principles of Liquidity Risk Management .......................................................6

4.Sources of Liquidity Risk .................................................................................7

5.Liquidity Management......................................................................................8

           5.1  Data and System Integrity .................................................................8

           5.2  Management Tolerance for Risk .......................................................8

           5.3  Product Design ..................................................................................8

           5.4  Investment Portfolio Construction ....................................................9

           5.5  Liquidity Measurement ....................................................................10

                  5.5.1  Liquidity Stress Sources..........................................................11

                  5.5.2  Liquidity Stress Tests .............................................................14

                  5.5.3  Contingent Liquidity Sources..................................................15

                  5.5.4  Reflecting Collateral and Other Encumbered Assets..............16

           5.6  Liquidity Risk in Policyholder Funds ...............................................16

           5.7  Liquidity Policy ................................................................................17

           5.8  Liquidity Crisis Planning ..................................................................17

6.Liquidity Risk in the Context of Required Capital ..........................................20

Appendix: Sample Reporting ..............................................................................21