medium · FRM Part 2 Liquidity & Treasury Risk
A bank manages exactly to its peak cumulative net debit of $5.0 billion by holding $5.0 billion in capacity.
If its intraday stress test assumes a 20% increase in outflows during the peak hour, what is the 'survival' implication?
- The bank remains 'safe' since its 30-day LCR ratio is 100 percent.
- The bank actually has $1.0 billion of excess intraday liquidity headroom.
- The bank will face an intraday liquidity shortfall of $1.0 billion.
- Insolvency for the bank is automatically triggered at 11:00 AM in this scenario.
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