Kamakura has released 10 case studies in liquidity risk that are designed to help financial services firms to correctly analyse their own liquidity risk and to measure compliance with the liquidity risk ratios embedded in the evolving Basel III regulations on capital and liquidity. The case studies are derived from the Kamakura Risk Information Services (KRIS) Credit Crisis Liquidity Risk database, announced by Kamakura on 12 May 2011.
The institutions analysed in the case studies include AIG, Countrywide Financial Corporation, Bank of America Merrill Lynch, Lehman Brothers, Morgan Stanley, Citigroup, Dexia, and Depfa Bank. Future case studies will cover JP Morgan Chase, Washington Mutual, Bear Stearns, Wachovia, Wells Fargo, Goldman Sachs and several others.
“Many institutions learned a difficult liquidity risk lesson in 2007-2009: a firm’s own liquidity risk history provides little insight into how a crisis will affect the firm if it hasn’t experienced a crisis in the past,” said Kamakura founder and chief executive officer (CEO) Donald van Deventer. “The KRIS Credit Crisis Liquidity Risk database is designed to bring the hard-won lessons of other firms, those who failed or who came close to failure, to other financial services companies that may still believe their depositors or liability suppliers will not flee in a crisis. Quantifying this risk is essential to Basel III compliance and, more importantly, to meeting the highest standards of risk management and corporate governance.”
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