Case of NBR

VII. ILAAP - NBR approach (1)
‣ NBR annually assesses the quality of liquidity risk management of bank, following items being taken into
consideration (Reg. no.5/2013 and SREP guidelines):
the analysis of the liquidity risk strategy and tolerance to be approved by the management body and
updated at least annually, to be effectively communicated to relevant staff, to be clearly defined, objectives
stated into the strategy be realistic, properly documented and correlated with its business model;
to what extent the risk profile captures the exposure of the bank to liquidity risk, whether the indicators
and thresholds used are appropriate, a comparison with supervisory benchmarking;
whether banks have appropriate policies and procedures for the management of liquidity and funding
risk, whether there are sufficient human and technical resources;
assessing the key risk indicators system developed by credit institutions for identifying and
measuring liquidity and funding risk, the frequency of which this indicator is calculated and reported;
the way banks monitor cash flows and liquidities in order to meet intraday obligations, existence of
funding agreements for intraday liquidity purposes, internal limits for holding unencumbered treasury bills to
fill the liquidity shortfalls;
the number of liquidity stress scenarios used, the severity levels, the plausibility of the assumptions
taken into consideration, whether the liquidity buffer covers the potential outflows calculated for the survival
period set by the banks.
whether the risk limits and monitoring systems of the bank are consistent with its liquidity risk
tolerance and regularly reviewed, as well as whether they incorporate the outcomes of internal liquidity
stress tests.
40