Description

Book Synopsis
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.


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

Quantification of Structural Liquidity Risk in Banks

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    A Paperback by Christoph Wieser

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      Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
      Publication Date: Publication Date: 21/10/2022
      ISBN13: 9783658395926, 978-3658395926
      ISBN10:

      Description

      Book Synopsis
      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.


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

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