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2011 May

On the buffer

May 31st, 2011

In PS 9/16 and BIPRU 12 the FSA defined what a firm could count towards its liquidity buffer. This was mainly high quality government debt. For firms with Sterling balance sheets it’s meant a Reserve Account, T-bills and Gilts. At the time this was sensible. If you recall Mr. Market had a near death experience […]

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Risk limits

May 9th, 2011

Over twenty years ago I recall having a discussion with fellow dealers about how big our risk limits should be. We concluded that it was straight forward. The risk limits ought to be based on how much the bank could afford to lose. Whilst 14 standard deviation events were known about, for limit purposes they […]

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