The management of liquidity risk and the necessary allocation of liquidity costs has gained in importance since the financial crisis – not only due to new regulatory requirements, but also from an economic point of view in bank management. Besides the calculation of the stress capital commitment, this requires the transparent derivation of the liquidity curve, allowing ALM to manage liquidity risk and to allocate liquidity costs to their respective causes. The article gives an overview on the requirements, the result-neutral calculation as well as the influencing factors for allocating liquidity costs.

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