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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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Firm A has 1billioninhighlyliquidassets.Inasuddenstressedscenario,itestimatesthatretailcustomerswillwithdraw1 billion in highly liquid assets. In a sudden stressed scenario, it estimates that retail customers will withdraw 1billioninhighlyliquidassets.Inasuddenstressedscenario,itestimatesthatretailcustomerswillwithdraw150 million in deposits, and retail customers will be able to make 80millionofloanrepayments.FirmAmustdealwith80 million of loan repayments. Firm A must deal with 80millionofloanrepayments.FirmAmustdealwith60 million of margin and collateral calls on its derivatives transactions due to falling collateral values and greater volatility of the underlying assets. In addition, it has utilized 10millionofatotal10 million of a total 10millionofatotal100 million liquidity facility. What is the estimate of Firm A's stressed liquidity asset buffer?

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