Quantification of Structural Liquidity Risk in Banks (BestMasters) - Softcover

Wieser, Christoph

Softcover

ISBN 10: 3658395923 ISBN 13: 9783658395926

Verlag: Springer Gabler, 2022

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

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.

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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.

Details zur Ausgabe

• Verlag: Springer Gabler
• Erscheinungsdatum: 2022
• Sprache: Englisch
• ISBN 10: 3658395923
• ISBN 13: 9783658395926
• Einband: Taschenbuch
• Auflage: 1
• Anzahl der Seiten: 84
• Kontakt zum Hersteller: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Deutschland