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Quantification of Structural Liquidity Risk in Banks

Quantification of Structural Liquidity Risk in Banks

Paperback

Series: Bestmasters

Business GeneralManagement

ISBN10: 3658395923
ISBN13: 9783658395926
Publisher: Springer Gabler
Published: Oct 21 2022
Pages: 68
Weight: 0.27
Height: 0.21 Width: 5.83 Depth: 8.27
Language: English
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.

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Wieser, Christoph

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Management