Quantification of Structural Liquidity Risk in Banks
Published on 20. October 2022
XV, 68 pages
978-3-658-39593-3 (ISBN)
Description
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.
More details
Series
Edition
1st ed. 2022
Language
English
Place of publication
Wiesbaden
Germany
Publishing group
Springer Fachmedien Wiesbaden GmbH
Target group
Professional and scholarly
Product notice
Reflowable
Illustrations
XV, 68 p. 23 illus. Textbook for German language market.
File size
1,12 MB
ISBN-13
978-3-658-39593-3 (9783658395933)
DOI
10.1007/978-3-658-39593-3
Schweitzer Classification
Other editions
Additional editions
Christoph Wieser
Quantification of Structural Liquidity Risk in Banks
Book
10/2022
Springer Gabler
€53.49
Available immediately
Person
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.
Content
Introduction.- Liquidity and risk.- Liquidity risk regulation.- Liquidity risk management.- Model for the quantification of structural liquidity risk.- Calculation.- Conclusion.- References.
