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Quantification of Structural Liquidity Risk in Banks

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Quantification of Structural Liquidity Risk in Banks/ by Christoph Wieser.
作者:	Wieser, Christoph.
面頁冊數:	XV, 68 p. 23 illus. Textbook for German language market.online resource. :
Contained By:	Springer Nature eBook
標題:	Financial Services. -
電子資源:	https://doi.org/10.1007/978-3-658-39593-3
ISBN:	9783658395933

Quantification of Structural Liquidity Risk in Banks
Wieser, Christoph.

Quantification of Structural Liquidity Risk in Banks[electronic resource] /by Christoph Wieser. - 1st ed. 2022. - XV, 68 p. 23 illus. Textbook for German language market.online resource. - BestMasters,2625-3615. - BestMasters,.

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

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.

ISBN: 9783658395933

Standard No.: 10.1007/978-3-658-39593-3doiSubjects--Topical Terms:

1108918
Financial Services.

LC Class. No.: HD28-70

Dewey Class. No.: 658

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