The issue of liquidity, both in connection with pricing the obligations of a bank and in managing its risk, has attracted significant attention from regulators and the management of banks themselves.
Regulators have had to look at how liquidity risks affect both the individual banks and the financial system and are designing reporting requirements and capital adequacy obligations that (will) have a major effect on the operation and strategic direction of bank activities.
Such obligations have started to take into account the interconnectedness of the bank within the system, its own sensitivity within that network to liquidity constraints caused by other banks and the impact the bank itself would have on the network if it were to run into liquidity constraints. One example of the new regulatory requirements is the Liquidity Coverage Ratio being introduced in Basel III and the impact of this is being discussed throughout the banking sector.
The research extended to developing a model for how banks can comply with various types of regulatory constraint and reporting requirements and steer their balance sheets and operations in a way that achieve business objectives
|ARC research project:||Banking Liquidity Risk|
|ARC scholar:||Iain Ritchie|
|University:||Heriot Watt University|
|Period of research:||September 2012 – November 2016
This project has now been completed
|Industry sponsors:||Hymans Robertson|
|Academic supervisors:||Andrew Cairns, Alex McNeil|
You might also like
If you have any questions or wish to discuss any aspect of research carried out through the Actuarial Research Centre (ARC), please contact the Research and Knowledge Team.
Filter or search events
Drawing from his most recent book “The New Long Life” and his longevity research Andrew J Scott will outline how longer lives and new technologies will fundamentally reshape how we structure our lives and transform the economy. As well as looking at the agenda this will set governments and corporates he will focus on the implications for you and how you prepare your future career.
The IFoA’s Actuarial Review Team has published its first thematic review, which looked at the actuarial advice given by scheme actuaries to UK pension scheme trustees on setting transfer values and commutation rates.
IFoA Immediate Past President John Taylor would like to invite you to the Institute and Faculty of Actuaries’ (IFoA) virtual India Town Hall 2021, hosted by John Taylor with IFoA Council Member Mahidhara Davangere and IFoA Chief Executive, Stephen Mann.
What are the options for the world economy looking ahead?
In this Thought Leadership Lecture, Economist, Vicky Pryce, will be discussing world economic trends, including the differences in geographical performance and how output is recovering and where.
Trust and Leadership for Actuaries
Led by Dr. Jim Baxter, University of Leeds, this webinar introduces some key ideas in the ethics of trust, with a particular focus on those in, or on the path to, leadership roles. Dr Baxter is joined by a panel of experienced leaders who will give their personal perspectives on how they understand the value of trust and how they seek to promote and inspire trust, drawing on their experiences of leadership. The panel includes:
In this webinar, we have two presentations showing the latest research on the implications for life and health insurers of two key issues: genomics and pandemic risk.
Dr Peter Joshi and Paul Timmers will share their research on how well-established underwriting processes can allow for genomics in predicting expected mortality and morbidity. They will then discuss the potential for stratified screening and personalised medicine to improve health and reduce claim costs.
As the world’s attention begins to turn to COP26 later this year in Glasgow, Sarah Gordon (Chief Executive, Impact Investing Institute) will share her vision for how the financial services industry can deliver for people and the planet, as well as how to encourage more investment with the intention to generate positive, measurable social and environmental impact alongside a financial return.
IFoA Immediate Past President John Taylor would like to invite you to the Institute and Faculty of Actuaries’ (IFoA) virtual SSA Town Hall 2021, hosted by John Taylor with IFoA Council Members Mukami Njeru, Prosper Matiashe and IFoA Chief Executive, Stephen Mann.
IFoA Immediate Past President John Taylor would like to invite you to the Institute and Faculty of Actuaries’ (IFoA) virtual MENAP Town Hall 2021, hosted by John Taylor and IFoA Chief Executive, Stephen Mann.