We investigate the valuation risk affecting financial instruments classified as L2 and L3 for accounting purposes. These are instruments that are not directly traded in active markets and are often relatively complex, opaque and illiquid. There is a huge volume of L2 and L3 instruments in the...

ABSTRACT The new macroprudential Implied‐Systemic Cost Of Risks (I‐SCOR) index, derived from MCNulty's implied cost of capital and enriched to account for the risks materialized during this crisis (collateral, liquidity and tail risk), well highlighted and distinguish the risks that...

One of the causes of the recent international financial crisis in the banks is dueto the lack of robust and effective methods to set prices for the internal transferof funds (Funds Transfer Pricing or FTP). This has accelerated the redefinition ofthe liquidity pricing and allocation regulatory...