Quantification of Structural Liquidity Risk in Banks
ISBN:
978-3-658-39592-6
Auflage:
1st ed. 2022
Verlag:
Springer Fachmedien Wiesbaden GmbH
Land des Verlags:
Deutschland
Erscheinungsdatum:
21.10.2022
Reihe:
BestMasters
Format:
Softcover
Seitenanzahl:
68
Lieferung in 5-10 Werktagen
Versandkostenfrei ab 40 Euro in Österreich
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.
Schlagwörter
Risk Measurement
Long-term liquidity risk
gone concern
cashflow gap
base scenario
liquidity buffer
maturity ladder
cashflows
funding cost risk
liquidity cost risk
liquidity value at risk
liquidity at risk
liquidity risk management
structural liquidity risk
maturity transformation
liquidity gap
liquidity balance sheet
Biografische Anmerkung
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.
