Quantification of Structural Liquidity Risk in Banks

1. Auflage 2022
ISBN: 978-3-658-39592-6
Verlag: Springer

Buch, Englisch, 68 Seiten, Book, Format (B × H): 148 mm x 210 mm, Gewicht: 122 g

Reihe: Research

Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits and lending out long-term loans, thus allowing a maturity mismatch between assets and liabilities. At some point the long-term loans will require refinancing and the institution is at risk of an adverse development of refinancing costs.This book proposes a model for the quantification of structural liquidity risk and describes the underlying methodology and assumptions for stressing the refinancing costs. The change in present value between closing open liquidity positions under stressed refinancing costs compared to current costs is the calculated impact on risk-bearing capacity.

Zielgruppe

Research

Autoren/Hrsg.

Wieser, Christoph

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement

Inhaltsverzeichnis

Introduction.- Liquidity and risk.- Liquidity risk regulation.- Liquidity risk management.- Model for the quantification of structural liquidity risk.- Calculation.- Conclusion.- References.

Über Autor(innen)

Christoph Wieser completed his Master's degree in Quantitative Asset and Risk Management at the University of Applied Sciences BFI in Vienna. In parallel to this programme he started his professional career in the liquidity risk management team of an Austrian bank, where he is currently working in the area of balance sheet risk management.