Quantification of Structural Liquidity Risk in Banks Paperback / softback
by Christoph Wieser
Part of the BestMasters series
Paperback / softback
Description
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.
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Paperback / softback
- Pages:68 pages, 23 Illustrations, black and white; XV, 68 p. 23 illus. Textbook for German language market
- Publisher:Springer-Verlag Berlin and Heidelberg GmbH & Co. K
- Publication Date:21/10/2022
- Category:
- ISBN:9783658395926
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Paperback / softback
- Pages:68 pages, 23 Illustrations, black and white; XV, 68 p. 23 illus. Textbook for German language market
- Publisher:Springer-Verlag Berlin and Heidelberg GmbH & Co. K
- Publication Date:21/10/2022
- Category:
- ISBN:9783658395926
