Quantification of Structural Liquidity Risk in Banks

Christoph Wieser

ISBN 10: 3658395923 / ISBN 13: 9783658395926

Published by Springer Fachmedien Wiesbaden Okt 2022, 2022

About this Item

Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783658395926

Bibliographic Details

• Title: Quantification of Structural Liquidity Risk in Banks
• Publisher: Springer Fachmedien Wiesbaden Okt 2022
• Publication Date: 2022
• Language: English
• ISBN 10: 3658395923
• ISBN 13: 9783658395926
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 210W x 148H x 6D millimeters 210 millimeters width by 148 millimeters height by 6 millimeters depth
• Weight: 122 grams

About this title

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.

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.