Liquidity Risk Meets Economic Capital and RAROC

2011 ◽  
Author(s):  
Kolja Loebnitz ◽  
Berend Roorda
Keyword(s):  
Liquidity Risk ◽  
Economic Capital

scholarly journals XVA metrics for CCP optimization

2020 ◽  
Vol 37 (1-2) ◽  
pp. 25-53 ◽  
Author(s):  
Claudio Albanese ◽  
Yannick Armenti ◽  
Stéphane Crépey
Keyword(s):  
Liquidity Risk ◽  
Economic Capital ◽  
Counterparty Risk ◽  
Return On Equity ◽  
Hurdle Rate ◽  
Suitable Notion ◽  
Capital At Risk ◽  
Numerical Case Study

AbstractBased on an XVA analysis of centrally cleared derivative portfolios, we consider two capital and funding issues pertaining to the efficiency of the design of central counterparties (CCPs). First, we consider an organization of a clearing framework, whereby a CCP would also play the role of a centralized XVA calculator and management center. The default fund contributions would become pure capital at risk of the clearing members, remunerated as such at some hurdle rate, i.e. return-on-equity. Moreover, we challenge the current default fund Cover 2 EMIR sizing rule with a broader risk based approach, relying on a suitable notion of economic capital of a CCP. Second, we compare the margin valuation adjustments (MVAs) resulting from two different initial margin raising strategies. The first one is unsecured borrowing by the clearing member. As an alternative, the clearing member delegates the posting of its initial margin to a so-called specialist lender, which, in case of default of the clearing member, receives back from the CCP the portion of IM unused to cover losses. The alternative strategy results in a significant MVA compression. A numerical case study shows that the volatility swings of the IM funding expenses can even be the main contributor to an economic capital based default fund of a CCP. This is an illustration of the transfer of counterparty risk into liquidity risk triggered by extensive collateralization.

Emerging Transnational Practices and Capabilities of Syrian Refugees in Turkey

2020 ◽  
Vol 17 (1) ◽  
pp. 125-138
Author(s):  
Zeynep Sahin Mencütek
Keyword(s):  
Legal Status ◽  
Country Of Origin ◽  
Economic Security ◽  
Economic Capital ◽  
Diaspora Studies ◽  
Cross Border ◽  
Global North ◽  
Displaced People ◽  
The Stability ◽  
Transnational Activities

Transnational activities of refugees in the Global North have been long studied, while those of the Global South, which host the majority of displaced people, have not yet received adequate scholarly attention. Drawing from refugee studies, transnationalism and diaspora studies, the article focuses on the emerging transnational practices and capabilities of displaced Syrians in Turkey. Relying on qualitative data drawn from interviews in Şanlıurfa – a border province in south-eastern Turkey that hosts half a million Syrians - the paper demonstrates the variations in the types and intensity of Syrians’ transnational activities and capabilities. It describes the low level of individual engagement of Syrians in terms of communicating with relatives and paying short visits to the hometowns as well as the intentional disassociation of young refugees from homeland politics. At the level of Syrian grassroots organisations, there have been mixed engagement initiatives emerging out of sustained cross-border processes. Syrians with higher economic capital and secured legal status have formed some economic, political, and cultural institutional channels, focusing more on empowerment and solidarity in the receiving country than on plans for advancement in the country of origin. Institutional attempts are not mature enough and can be classified as transnational capabilities, rather than actual activities that allow for applying pressure on the host and home governments. This situation can be attributed to the lack of political and economic security in the receiving country as well as no prospects for the stability in the country of origin. The study also concerns questions about the conceptual debates on the issue of refugee diaspora. Whilst there are clear signs of diaspora formation of the Syrian refugee communities, perhaps it is still premature to term Syrians in Turkey as refugee diaspora.

Collective Resource Mobilisation for Economic Survival within the Kurdish and Turkish Communities in London

2016 ◽  
Vol 6 (2) ◽  
pp. 219-239
Author(s):  
Olgu Karan
Keyword(s):  
Small Business ◽  
Textile Industry ◽  
Economic Capital ◽  
Small Business Owners ◽  
Coffee Shop ◽  
Business Ownership ◽  
Economic Survival ◽  
Collective Resource ◽  
Resource Mobilisation ◽  
Depth Interviews

This paper proposes a new conceptual framework in understanding the dynamics within the Kurdish and Turkish (KT) owned firms in London by utilising Charles Tilly’s work concerning collective resource mobilisation. Drawing on 60 in-depth interviews with restaurant, off-licence, kebab-shop, coffee-shop, supermarket, wholesaler owners and various community organisations, the paper sheds light upon the questions of why and how the KT communities in London moved into, and are over represented and why Turkish Cypriots are absent in small business ownership. The re-search illustrates that members of the KT communities aligned in their interests to become small business owners after the demise of textile industry in the midst of 1990s in London. The interest alignment in small business ownership required activation of various forms of capital and transposition of social, cultural and economic capital into one another.

Liquidity Gap Report for Stress Testing Structural Liquidity Risk

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 43-53
Author(s):  
Eugenia Schmitt
Keyword(s):  
Risk Assessment ◽  
Risk Evaluation ◽  
Stress Testing ◽  
Gap Analysis ◽  
Liquidity Risk ◽  
Methodological Basis ◽  
Qualitative Risk Assessment ◽  
The Future ◽  
Liquidity Gap

The need to focus on banks funding structure and stress testing in an explicit way arose as a consequence of the crisis of past decades. Liquidity risks usually occur as a consequence of other kinds of risks, hence analysing scenarios in a prospective manner is essential for the assessment if the bank can fulfill its obligations as they come due and if its funding costs are appropriate. The structural liquidity risk and the degree of the liquidity mismatch can be measured based on the liquidity gap analysis, where expected cash-in- and outflows, divided in different time-buckets are depicted. The liquidity gap report (LGR) shows if a liquidity shortcoming appears in the future and how high is the amount a bank would have to pay, if any hedging were not possible. This paper shows how to build a comprehensive LGR which is the base for both, liquidity and wealth risk evaluation. To improve the accuracy of the forecast, the counterbalancing capacity will be incorporated into the LGR. This tool is a methodological basis for quantitative and qualitative risk assessment and stress testing.

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