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' because its 30-day LCR is 100%.
- The bank has $1.0 billion in excess headroom.
- The bank will face an intraday liquidity shortfall of $1.0 billion.
- Insolvency is triggered automatically at 11:00 AM.
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