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Quantification of Structural Liquidity Risk in Banks

Verfasser: Suche nach diesem Verfasser Wieser, Christoph. (Verfasser)
Medienkennzeichen: Lehrbuch
Jahr: 2022.
Verlag: Wiesbaden :, Springer Fachmedien Wiesbaden :
Mediengruppe: E-Book
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Inhalt

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.

Details

Verfasser: Suche nach diesem Verfasser Wieser, Christoph. (Verfasser)
Medienkennzeichen: Lehrbuch
Jahr: 2022.
Verlag: Wiesbaden :, Springer Fachmedien Wiesbaden :
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Interessenkreis: Suche nach diesem Interessenskreis KJM, BUS041000
ISBN: 9783658395933
Beschreibung: 1st ed. 2022., XV, 68 p. 23 illus. Textbook for German language market., online resource.
Reihe: BestMasters,
Schlagwörter: Financial services industry., Financial Services., Management.
Beteiligte Personen: Suche nach dieser Beteiligten Person SpringerLink (Online service) (Mitwirkender)
Mediengruppe: E-Book