Quantification of Structural Liquidity Risk in Banks / BestMasters (PDF)
(Sprache: Englisch)
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...
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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.
About the author
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.
Autoren-Porträt von Christoph Wieser
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.
Bibliographische Angaben
- Autor: Christoph Wieser
- 2022, 1st ed. 2022, 68 Seiten, Englisch
- Verlag: Springer Fachmedien Wiesbaden
- ISBN-10: 3658395931
- ISBN-13: 9783658395933
- Erscheinungsdatum: 20.10.2022
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
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- Größe: 1.07 MB
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Sprache:
Englisch
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