Liquidity risk CPD resources for enterprise risk management
The FSA defines liquidity risk as "the risk that a firm, although solvent, either does not have available sufficient financial resources to enable it to meet its obligations as they fall due, or can secure such resources only at excessive cost". The following section considers liquidity risk by financial institution.
General
- Liquidity risk management. Best risk management practices [pdf]. Chief Risk Officer Forum, October 2008
- Strengthening liquidity standards [pdf]. FSA PS 09/176 including feedback on CP08/22 CP09/13 and CP09/14.
- How valuable is liquidity? [pdf]. Liquidity working party paper, May 2008.
- Presentation to the 2008 Life Convention by the liquidity working party.
- Financial crisis: what are your liquidity needs?. Paul Stanworth and Adrian Lawrence. The Actuary, Jan 2009.
- Report of the US President's Working Group on Financial Markets: Money Market Fund Reform Options (October 2010) - reviews risks faced by money market funds and problems which arose on these in the recent crisis.
Life insurance
- Liquidity management in UK life insurance. A discussion paper [pdf]. A paper by P.O.J. Kelliher, D.L. Bartlett, M. Chaplin, K. Dowd and C.D. O'Brien, 2005.
- Liquidity risk in life insurance [pdf]. Risk management working party. The Actuary, June 2005.
- Report of the Life Liquidity Work Group [pdf]. American Academy of Actuaries, 2000.
Banking
- Basel Committee principles for sound liquidity risk management and supervision.
- Consultation paper, June 2008.
- Principles for sound liquidity risk management and supervision, September 2008.
- International framework for liquidity risk measurement, standards and monitoring. Consultative document, December 2009.
- Committee of European Banking Supervisors. Liquidity consultation papers.
- Reflections on modern bank runs: A case study of Northern Rock [pdf]. A paper by Hyun Song Shin of Princeton University, August 2008.
Other areas of liquidity risk
These areas are being developed:
- General insurance
- Pension funds
If you have any interesting papers or sites on liquidity risk which you feel should be included here, please send them to Dawn McIntosh, the manager for the ERM practice executive committee (dawn.mcintosh@actuaries.org.uk).