Academic literature on the topic 'Liquidity risk management'
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Journal articles on the topic "Liquidity risk management"
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Anisoara Niculina, Daschievici. "Liquidity Risk Management." Annales Universitatis Apulensis Series Oeconomica 3, no. 8 (July 31, 2006): 166–69. http://dx.doi.org/10.29302/oeconomica.2006.8.3.30.
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Milosevic, Milos. "Liquidity risk management." Bankarstvo 43, no. 1 (2014): 12–29. http://dx.doi.org/10.5937/bankarstvo1401012m.
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Müseyib qızı Babazadə, Sehrayi. "Liquidity risk and liquidity regulation management processes." SCIENTIFIC WORK 76, no. 3 (March 18, 2022): 101–6. http://dx.doi.org/10.36719/2663-4619/76/101-106.
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İstənilən bankın idarə olunmasının ən mühüm vəzifələrindən biri müvafiq likvidlik səviyyəsini təmin etməkdir. Bank münasib qiymətə cəlb oluna bilən vəsaitlərə və məhz onlara ehtiyac olduğu anda çıxış imkanına malik olduğu halda likvid hesab olunur. Bu o deməkdir ki, bank ya lazımi miqdarda likvid vəsaitə malikdir, ya da onları kreditlər və ya aktivlərin satışı ilə tez əldə edə bilər. Rusiyada başlayan maliyyə böhranı bankın likvidliyinin tənzimlənməsinə xüsusi aktuallıq verdi. Dinamik artım nümayiş etdirmiş bir çox Rusiya bankları yüksək dəyişkən maliyyə şəraitində likvidlik problemini həll edə bilməyiblər və hazırda çətin vəziyyətdədirlər. Açar sözlər: bank, likvidlik, likvidliyin tənzimlənməsi Sehrayi Museib Babazadeh Liquidity risk and liquidity regulation management processes Abstract One of the most important tasks of any bank management is to ensure an appropriate level of liquidity. A bank is considered liquid if it has funds that can be attracted at a reasonable price and have access to them when they are needed. This means that the bank either has the necessary amount of liquid funds or can obtain them quickly through loans or the sale of assets. The financial crisis in Russia has given special importance to the regulation of the bank's liquidity. Many Russian banks, which have shown dynamic growth, have not been able to solve their liquidity problems in a highly volatile financial environment and are currently in a difficult position. Key words: bank, liquidity, liquidity regulation
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Holmstrom, Bengt, and Jean Tirole. "Liquidity and Risk Management." Journal of Money, Credit and Banking 32, no. 3 (August 2000): 295. http://dx.doi.org/10.2307/2601167.
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Gârleanu, Nicolae, and Lasse Heje Pedersen. "Liquidity and Risk Management." American Economic Review 97, no. 2 (April 1, 2007): 193–97. http://dx.doi.org/10.1257/aer.97.2.193.
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Rozhkov, Y. V. "THE USE OF LIQUIDING AS A BANK MANAGEMENT CATEGORY." Vestnik of Khabarovsk State University of Economics and Law, no. 3 (January 20, 2021): 61–64. http://dx.doi.org/10.38161/2618-9526-2020-3-12.
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The article describes the theoretical problems related to the use of «bank liquidity» category. «Function» category is revealed in relation to the liquidity of credit institutions. It is proposed to introduce «liquiding» category into scientific and practical circulation as a quintessence that combines the concepts of «liquidity», «liquidity management», «liquidity risk management»
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Hlebik, Sviatlana, and Lara Ghillani. "Management Strategies for Bank’s Liquidity Risk." International Journal of Economics and Finance 9, no. 6 (May 15, 2017): 98. http://dx.doi.org/10.5539/ijef.v9n6p98.
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Liquidity risk management is today a major focus for regulators, due to increasing complexity of financial markets and concerns related to inadequate identification and managing liquidity risk, exacerbated by the financial crisis. Because the financial market is increasingly interconnected, a liquidity shortfall at a single institution can have system-wide consequences.This paper aims to provide analytical explanations of how important decisions made by bank managers can influence the capability of an institution to finance increases in assets and meet their commitments without impairing cash flow. Banks are particularly susceptible to liquidity risk because the maturity transformation from short-term deposits into long-term loans is one of their key business activity. Further, there can be uncertainties in cash-flow in the external occurrences and agents' behavior. Skillful liquidity risk management is essential, and the present work analyses impact of some management strategies on Basel III liquidity ratios.
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T. T. Tran, Tu, Yen T. Nguyen, Thuy T.H. Nguyen, and Long Tran. "The determinants of liquidity risk of commercial banks in Vietnam." Banks and Bank Systems 14, no. 1 (February 26, 2019): 94–110. http://dx.doi.org/10.21511/bbs.14(1).2019.09.
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This research identifies factors that explain the liquidity of commercial banks in the Vietnam banking system from 2010 to 2015. Using the OLS regression method for analysis, it was found that: the interbank market helps commercial banks improve their liquidity; the larger the loan size, the higher the liquidity risk; good credit risk management has a positive impact on liquidity risk management; and long-term interest rate is negatively related to the liquidity of commercial banks. The research also makes recommendations on liquidity risk management policies to banks and policy-makers from the Government and the State Bank of Vietnam.
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Rudhani, Leonora Haliti, and Driton Balaj. "Management of Liquidity Risk and the Banking Activity." International Journal of Finance & Banking Studies (2147-4486) 8, no. 2 (July 20, 2019): 01–08. http://dx.doi.org/10.20525/ijfbs.v8i2.299.
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The banking sector in Kosovo continues to have a high level of sustainability and financial stability. Two substantial components for the stability of the banking system appear to be liquidity and liquidity risk. The purpose of this paper is to analyze liquidity management in Kosovo's commercial banks through liquidity risk indicators from 2008 to 2017. By comparing the methodology of the data presented, the study will assess the state of management of the liquidity risk of commercial banks. From 2008 until now, commercial banks in Kosovo have had liquidity reserves at a level higher than the level required by CBK, which means that exposure to liquidity risk was minimal.
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Karanović, Goran, Bisera Karanović, and Martina Gnjidić. "Liquidity risk management: practice among Croatian firms." Zbornik Veleučilišta u Rijeci 6, no. 1 (2018): 81–97. http://dx.doi.org/10.31784/zvr.6.1.11.
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The main purpose of this paper is to explore the practice of liquidity risk management of Croatian business entities. The analysis is based on a survey of 62 business entities in Croatia. The authors investigate the existence of risk management and liquidity risk management measures among the surveyed business entities. The respondents’ knowledge of management, their use of indicators and methods for the management of liquidity risk, in addition to the cited reasons for implementation of liquidity risk measures were also subject to examination. Furthermore, the authors investigate the importance of liquidity management in business. The analysis reveals that Croatian business entities have neither sufficient knowledge regarding the majority of financial indicators, nor they tend to use liquidity management plans. Consequently, the survey’s findings indicate that the overall level of financial knowledge of Croatian managers is inadequate. This can, thus, be identified as one of the reasons for the traditionally high number of illiquid business entities in the market. Finally, this paper provides academia and policymakers with new revelations concerning the management of liquidity risk among business entities in Croatia.
Dissertations / Theses on the topic "Liquidity risk management"
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Chikoko, Laurine. "Liquidity risk management by Zimbabwean commercial banks." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1020344.
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Macroeconomic and financial market developments in Zimbabwe since 2000 have led to an increase in many banks‟ overall exposure to liquidity risk. The thesis highlights the importance of understanding and building comprehensive liquidity frameworks as defenses against liquidity stress. This study explores liquidity and liquidity risk management practices as well as the linkages and factors that affected different types of liquidity in the Zimbabwean banking sector during the Zimbabwean dollar and multiple currency eras. The research sought to present a comprehensive analysis of Zimbabwean commercial banks‟ liquidity risk management in challenging operating environments. Two periods were selected: January 2000 to December 2008 (the Zimbabwean dollar era) and March 2009 to June 2011 (the multiple currency era). Explanatory and survey research designs were used. The study applied econometric modeling using panel regression analysis to identify the major determinants of liquidity risk for 15 commercial banks in Zimbabwe. The financing gap ratio was used as the proxy for liquidity risk. The first investigation was on liquidity risk determinants in the Zimbabwean dollar era. The econometric investigations revealed that an increase in capital adequacy reduced liquidity risk and that there was a positive relationship between size and bank illiquidity. Liquidity risk was also explained by spreads. Inflation was positively related to liquidity risk and was a significant explanatory variable. Non-performing loans were not significant in explaining commercial banks‟ illiquidity, which is contrary to expectations. The second investigation was on commercial banks‟ liquidity risk determinants in the multiple currency era by using panel monthly data. The results showed that capital adequacy had a significant negative relationship with liquidity risk. The size of the bank was significant and positively related to bank illiquidity. Unlike in the Zimbabwean dollar era, spreads were negatively related to bank liquidity risk. Again, non-performing loans were a significant explanatory variable. The reserve requirements ratio and inflation also influenced bank illiquidity in the multiple currency regime. In both investigations, robustness tests for the main findings were done with an alternative dependent variable to the financing gap ratio. To complement the econometric analysis, a survey was conducted using questionnaires and interviews for the same 15 commercial banks. Empirical analysis in this research showed that during the 2000-2008 era; (i) no liquidity risk management guidelines were issued by the Reserve Bank of Zimbabwe until 2007. Banks relied on internal efforts in managing liquidity risk (ii) Liquidity was managed daily by treasury (iii) The operating environment was challenging with high inflation rates, which led to high demand for cash withdrawals by depositors (iv) Locally owned banks were more exposed to liquidity risk as compared to the foreign owned banks (v) Major sources of funds were new deposits, retention of maturities, shareholders, interbank borrowings, offshore lines of credit and also banks relied on the Reserve Bank of Zimbabwe as the lender of last resort (vi) Financial markets were active and banks offered a wide range of products (vii) To manage liquidity from depositors, banks relied on cash reserves, calculating and analysing the withdrawal patterns. When faced with cash shortages, banks relied on the daily limits set by the Reserve Bank of Zimbabwe (viii) Banks were lending but when the challenges deepened, they lent less in advances and increased investment in government securities. (ix) Inflation had major effects on liquidity risk management as it affected demand deposit tenors, fixed term products, corporate sector deposit mobilisation, cost of funds and investment portfolios (x) The regulatory environment was not favourable with RBZ policy measures designed to arrest inflation having negative repercussions on banks` liquidity management (xi) Banks had no liquidity crisis management frameworks. During the multiple currency exchange rate system (i) Commercial banks had problems in sourcing funds. They were mainly funded by transitory deposits with little coming in from treasury activities, interbank activities and offshore lines of credit. There was no lender of last resort function by the Reserve Bank of Zimbabwe. (ii) Some banks were still struggling to raise the minimum capital requirements (iii) Commercial banks offered narrow product ranges to clients (iv) To manage liquidity demand from clients, banks relied on the cash reserve ratio, and calculated the patterns of withdrawal, while some banks communicated with corporate clients on withdrawal schedules. (v) Zimbabwe commercial banks resumed the lending activity after dollarisation. Locally owned banks were aggressive, while foreign owned banks took a passive stance. There were problems with non-performing loans, especially from corporate clients, which exposed many banks to liquidity risk. (vi) Liquidity risk management in Zimbabwe was still guided by the Reserve Bank of Zimbabwe Risk Management Guideline BSD-04, 2007. All banks had liquidity risk management policies and procedure manuals but some banks were not adhering to them. Banks also had liquidity risk limits in place but some violated them. Furthermore, some banks were not conducting stress tests. Although all banks had contingency plans in place, none were testing them. Specifically, the research study highlighted the potential sources of liquidity risk in the Zimbabwean dollar and multiple currency periods. Based on the results, the study recommends survival strategies for banks in managing liquidity risk in such environments. It proposes a comprehensive liquidity management framework that clearly identifies, measures and control liquidity risk consistent with bank-specific and the country‟s macroeconomic developments. The envisaged framework would assist banks in dealing with illiquidity in a manner that would be less disruptive and that could render any future crisis less painful. Of importance is the recommendation that the central bank might not need to be too strict or too relaxed, but be moderate in ensuring an enabling regulatory environment. This would help banks to manage liquidity risk and at the same time protect depositors in any challenging operating environment. In both the studied time periods, there were transitory deposits. Generally there is need to inculcate a savings culture in Zimbabwe.
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Lee, Hwayoung. "Portfolio liquidity risk management with expected shortfall constraints." Thesis, University of Essex, 2016. http://repository.essex.ac.uk/17762/.
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In this thesis we quantify the potential cost of liquidity constraints on a long equity portfolio using the liquidity risk framework of Acerbi and Scandolo (2008). The model modifies the classical mark-to-market valuation model, and incorporates the impact of liquidity policies of portfolios on the liquidity adjustment valuation (LVA). Also, we suggest a quantitative indicator that scores market liquidity ranging from 0 to 1 (perfect liquidity) for a portfolio with possible liquidity constraints. The thesis consists of three major studies. In the first one, we compute LVA given the cash, minimum weight and portfolio expected shortfall (ES) liquidity policies on a long equity portfolio. Several numerical examples in the results demonstrate the importance associated the incorporation of the liquidity policy in the liquidity risk valuation. In the second study, we quantify the execution costs and the revenue risk when implementing trading strategies over multiple periods by employing the transaction costs measure of Garleanu and Pedersen (2013). The portfolio liquidity costs estimated from the model of Garleanu and Pedersen (2013) are compared with the costs estimated from the liquidity risk measure of Finger (2011). In the third study, we estimate the liquidity-adjusted portfolio ES for a long equity portfolio with the liquidity constraints. Portfolio pure market P&L scenarios are based on initial positions, and the liquidity adjustments are based on positions sold, which depend on the specified liquidity constraints. Portfolio pure market P&L scenarios and state-dependent liquidity adjustments are integrated to obtain liquidity-adjusted P&L scenarios. Then, we apply the liquidity score method (Meucci, 2012) on the liquidity-plus-market P&L distribution to quantify the market liquidity for the portfolio. The results show the importance of pricing liquidity risk with liquidity constraints. The liqiii uidity costs can vary greatly on different liquidity policies, portfolio MtM values, market situation and time to liquidation.
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Umlauft, Roland. "Essays on liquidity and risk." Doctoral thesis, Universitat Pompeu Fabra, 2013. http://hdl.handle.net/10803/119822.
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In Chapter 1 I investigate the economic importance of correlation in mutual fund flows for funds with overlapping portfolio positions. I illustrate theoretically that commonality in trading by funds due to flow correlation influences the optimal portfolio. Furthermore, I show that the expected return from an asset for a specific agent is conditional on correlation of this particular asset holder’s flows with his peers. Finally, I derive a theoretical upper bound of optimal flow correlation and hypothesize the existence of at least one optimal equilibrium outcome for any combination of pairwise fund flow correlations. Empirically, I introduce a measure of portfolio adjusted flow correlation and find that co-movement in flows can significantly deteriorate fund performance in the long-run, by about 1.4% annually between peer funds with high and low correlation, adjusted for style. Finally, I find that around one third of US mutual funds holds non-optimal portfolios as far as dynamic liquidity from correlated trading patterns is concerned.
The research in Chapter 2 presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of stocks. I argue that because of differences in liquidity (or trading cost), most trading activity is concentrated on the subset of liquid assets. In the presence of systematic wealth shocks this leads to an increase in beta risk for the liquid asset class beyond their true level of risk from the underlying dividend process with regard to the market risk factor. Vice-versa, the risk of illiquid assets becomes understated. Moreover, it is argued that a reduction of trading cost in the cross-section will reduce such differences and lead to a convergence of risk factor estimates towards the true value of underlying risk. Empirical evidence using data surrounding the tick-reduction event at the New York Stock Exchange is supporting this hypothesis. I find that beta estimates for liquid assets exceed their illiquid peers, while the difference in beta between the groups is significantly reduced after the exogenous trading cost reduction due to the tick-change event.
In Chapter 3 I investigate asset liquidity surrounding fire-sale events by mutual funds. I develop revised method for identifying liquidity-driven sales. I find empirical evidence of both front running and liquidity provision surrounding liquidity-driven fire-sale events. Applying my identification method for sample selection I find significantly faster rates of return reversal compared to previous literature. Moreover, I show that asset liquidity measures return to their intrinsic values very shorty after a fire-sale. Finally, I show that a trading strategy of liquidity provision by outsiders provides economically significant returns.En el Capítulo 1 investigo la importancia económica de la correlación entre los flujos de fondos relativos a fondos de inversión con carteras similares. Demuestro de forma teórica que la similitud entre las estrategias de trading de distintos fondos de inversión causadas por la alta correlación entre sus flujos de fondos influye en las decisiones optimas sobre carteras de inversión. De forma adicional, demuestro que el retorno esperado de los activos esta condicionado a la correlación de las corrientes de fon- dos con sus competidores. Finalmente, derivo el limite superior teórico de correlación y presento la hipótesis de existencia de una cartera ́optima para cada posible matriz de covarianzas. Introduzco una medida de correlación de flujos de fondos, ajustada por la cartera de inversión. Empíricamente, encuentro una caída del rendimiento a largo plazo de un 1.4% anualmente entre fondos de inversión con estilo similar de inversión. Adema ́s, demuestro que un tercio de los fondos de inversión en los EEUU adoptan carteras de inversión sub-óptimas con respeto a la dinámica de la liquidez derivada de la cercanía en sus estrategias de inversión. En el Capítulo 2 presento evidencia empírica de que existen diferencias en el riesgo beta de los activos en la sección cruzada de la liquidez de las acciones. Las diferencias de liquidez o de costes de transacción hacen que los agentes centren su actividad de trading sobre la clase de los activos m ́as líquidos. Cuando existe el riesgo de shocks a la riqueza sistémicos, esto genera un incremento en el riesgo beta para la clase de los activos m ́as líquidos en exceso del valor real del riesgo que se deriva de sus dividendos con relación al factor de riesgo de mercado. Y vice-versa, el riesgo de los activos ilíquidos se subestima. Una reducción uniforme en costes de transacción puede reducir dicha diferencia entre las be- tas. Demuestro de forma empírica que esto es as ́ı, utilizando datos sobre precios de activos durante el per ́ıodo de cambio de la forma de contabilizar los precios que ocurrió en el New York Stock Exchange. Demuestro que la reducción de costes puede reducir la diferencia en la beta entre activos líquidos y ilíquidos. En el Capítulo 3 estudio cambios en la liquidez de los activos durante ventas masivas por parte de fondos de inversión. Introduzco una innovación en la metodología de identificación de ventas por razones de liquidez frente a ventas por razones de valoración. Encuentro evidencia empírica de pre-venta de activos y provisión de liquidez durante de las ventas masivas por razones de liquidez. Utilizando mi método de identificación de ventas por razones de liquidez encuentro reversión de rendimientos negativos significativamente m ́as rápida que la que habían encontrado estudios anteriores. Demuestro también que las medidas de liquidez de los activos vuelven a sus valores intrínsecos inmediatamente después de las liquidaciones. Finalmente, demuestro que una estrategia de provisión de liquidez genera rendimientos positivos económicamente significativos.
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MORELLA, SAVERIO. "La liquidità delle banche: regolamentazione, modelli di misurazione e prospettive di sviluppo tra teoria e prassi operative." Doctoral thesis, Università di Foggia, 2015. http://hdl.handle.net/11369/338370.
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ABSTRACT
La ricerca si pone l’obiettivo di approfondire il tema della gestione della liquidità delle banche
all’indomani della crisi finanziaria internazionale (2007-2008), che ha determinato
l’introduzione di regole specifiche in materia di liquidità all’interno del nuovo framework
regolamentare (Basilea 3).
In particolare, è stata studiata la condizione di liquidità delle principali banche italiane quotate
nel periodo 2007-2013. Per spiegare l’andamento della condizione di liquidità di una banca
rispetto ad una serie di variabili di performance è stato utilizzato un modello di regressione
multipla (OLS). La liquidità bancaria (variabile dipendente) è stata misurata da uno score creato
appositamente tramite alcuni indicatori di liquidità bancaria. La performance della banca,
invece, è misurata da alcuni indici di solidità, redditività, offerta di credito, qualità del credito,
ecc (variabili indipendenti). I risultati mostrano che la condizione di liquidità delle banche
indagate inizia a presentare un deterioramento a partire dal periodo post-crisi, poiché la crisi
finanziaria del biennio 2007-2008 ha fortemente inciso sulla loro liquidità. Inoltre, la situazione
pre-crisi non presentava valori confortanti, denotando già alcune lacune e vulnerabilità in merito
alle gestione del rischio di liquidità all’interno delle banche italiane. Nel passaggio al 2013 si
avverte un chiaro miglioramento, legato soprattutto all’introduzione di Basilea 3, che ha posto
un focus particolare sul rischio di liquidità.
Il lavoro conferma la letteratura che vede l’esistenza di un trade-off tra liquidità e redditività
bancaria. Inoltre, come atteso, i dati evidenziano una relazione positiva tra la liquidità e la
solidità patrimoniale e tra la liquidità e la qualità del credito. Contrariamente alle attese, la
condizione di liquidità delle banche indagate risulta positivamente correlata all’offerta di credito
a famiglie e imprese.
JEL Classification: G01, G21, G28, G32.
ABSTRACT
The research aims to investigate the issue of liquidity management of the banks, after the
international financial crisis (2007-2008), which led to the introduction of specific rules of
liquidity within the new regulatory framework (Basel 3).
In particular, it was studied liquidity condition of the main Italian listed banks during the period
2007-2013. It was used a multiple regression model (OLS) in order to explain the liquidity
condition of banks with respect to a series of performance variables. Bank liquidity (dependent
variable) is measured by a score specifically created using some bank liquidity ratios. The bank
performance, however, is measured by indices of solidity, profitability, credit supply, credit
quality, etc (independent variables). Results show that the liquidity of banks surveyed start to
decrease since post-crisis period, as the 2007-2008 financial crisis has strongly affected banks
liquidity. Moreover, the situation pre-crisis was not comforting, denoting already some gaps and
vulnerabilities in the liquidity risk management of Italian banks. In 2013, there was a clear
improvement, mainly related to the introduction of Basel 3, which has placed a special focus on
liquidity risk. This study confirms literature that sees the existence of a trade-off relationship
between bank liquidity and bank profitability. Also, as expected, findings show that bank
liquidity correlates positively with capital solidity and with credit quality, while negatively with
bank size. In contrast to expectations, bank liquidity is positively correlated with the credit
supply to families and companies.
JEL Classification: G01, G21, G28, G32.
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Daccache, Rudy. "Interest Rate and Liquidity Risk Management for Lebanese Commercial Banks." Thesis, Lyon 1, 2014. http://www.theses.fr/2014LYO10100/document.
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L'objectif de cette thèse est de fournir à la Banque Audi des outils économétriques et appliqués pour une gestion des risques plus efficace et plus robuste. Les banques libanaises sont aujourd'hui confrontées à des défis plus importants que jamais: l'avenir de la région Moyen-Orient repose sur les conséquences de la guerre civile syrienne. Dans ce contexte, la gestion des taux d'intérêt et de la liquidité s'avère de plus en plus compliqué pour les banques commerciales. En premier lieu, le risque de taux d'intérêt sur le marché libanais sera étudié. Ce marché est connu pour son manque de liquidité et le problème de calibrage des modèles de taux est difficile. Afin de résoudre ce problème, nous utilisons les prix historiques des obligations émises par le gouvernement libanais et libellées en monnaie locale et en dollars américains. Nous considérons des modèles de Nelson-Siegel et Svensson et contraignons le niveau corrélation des facteurs pour stabiliser l'estimation des paramètres de ces modèles. La méthode conduit à des résultats qui s'interprètent très facilement d'un point de vue économique et peuvent être utilisés pour la prévision des variations de la courbe des taux en se basant une analyse ´économique prospective. En second lieu, la problématique des dépôts des clients traditionnels sera étudiée. Ces derniers sont reconnus comme étant la source principale de financement des banques commerciales libanaises (80-85% du passif). Bien qu'ils soient contractuellement des dépôts à court terme (principalement un mois) versant des taux d'intérêt fixes, ces dépôts sont assimilés à une source de financement stable possédant un comportement proche des taux d'intérêt du marché. Nous développons un modèle à correction d'erreur représentant un équilibre à long terme entre le Libor et le taux moyen du secteur bancaire libanais offert sur les dépôts en dollars américains. Les résultats permettent de déterminer une date de réévaluation des dépôts clientèles en cas de fluctuation des taux d'intérêt. Une nouvelle duration du passif tenant compte des comportements des clients a été mise en place. Elle sera par construction plus élevée que la duration contractuelle. En cas de hausse des taux d'intérêt, une baisse de l'écart entre la duration des actifs et des passifs sera alors observée menant à la diminution de l'impact négatif de la hausse. Après avoir étudié le profil de risque des taux des dépôts clientèles, nous commençons la deuxième partie de la thèse par la détermination de l'échéancier des retraits. Nous segmentons les données historiques des données sur les dépôts clientèles selon: la monnaie, le type de dépôt et la résidence du déposant. Pour chaque filtre, un modèle `a correction d'erreur est développé. Les résultats montrent la relation entre les dépôts clientèles, un indicateur relatif du niveau économique et les écarts entre les taux offerts sur le marché libanais. Ainsi, le modèle permettra d'évaluer le comportement des retraits des dépôts clientèles et de comprendre leur profil de risque de liquidité. Les grandes institutions financières détiennent des positions importantes en actifs financiers. La dernière partie de la thèse discute de la gestion du risque de liquidité de marché en cas de session forcée de ces actifs. Nous supposons qu'un investisseur détient une position importante d'un actif donné, à t = 0, un choc sévère provoque une forte dépréciation de la valeur de l'actif et par conséquent, force l'investisseur à opter pour la liquidation du portefeuille dès que possible en limitant ses pertes. Les rendements des actions sont modélisés par des processus de type GARCH qui sont adaptés pour décrire des comportements extrêmes suite à une grande variation de l'actif au temps initial. Suivant que le marché est liquide ou illiquide, nous proposons une stratégie optimale à l'investisseur qui maximise sa fonction d'utilité. Enfin, nous intégrons dans le modèle un avis d'expert pour optimiser la prise d'une décisionThe aim of this thesis is to provide Bank Audi with econometric tools for sake of a more robust risk management. Lebanese businesses today are faced with greater challenges than ever before, both economical and political, and there is a question about the future of the middle east region after the Syrian civil war. Thus, Lebanese commercial banks face greater complications in the management of interest rate and liquidity risk. The first part of this thesis discusses interest rate risk management and measurement in the Lebanese market. First, we seek to build the Lebanese term structure. This market is known by its illiquidity, yields for a given maturity make a large jump with a small impact on other yields even if close to this maturity. Therefore, we face challenges in calibrating existing yield curve models. For this matter, we get historical prices of bonds issued by the Lebanese government, and denominated in Local currency and in US dollar. A new estimation method has been added to Nelson Siegel and Svensson model, we call it “Correlation Constraint Approach”. Model parameters can be interpreted from economical perspective which will be helpful in forecasting yield curve movements based on economist’s opinion. On the second hand, traditional customer deposits are the main funding source of Lebanese commercial banks (80-85% of liabilities). Although they are contractually short term (mainly one month) paying fixed interest rates, these deposits are historically known to be a stable source of funding and therefore exhibit a sticky behavior to changes in market interest rates. We develop an error correction model showing a long-run equilibrium between Libor and Lebanese banking sector average rate offered on USD deposits. Results make it possible to determine the behavioral duration (repricing date) of customer deposits when market interest rates fluctuate. Therefore, the behavioral duration of liabilities will be higher than the contractual one which will lower the duration gap between assets and liabilities and thus the negative impact of positive interest rate shocks. After understanding interest risk profile of customers’ deposits, we start the second part by determining their behavioral liquidation maturity. We get Bank Audi’s historical deposits outstanding balances filtered into the following categories: currency, account typology and residency of depositor. We develop an error correction model for each filter. Results show relationship between deposits behaviors, the coincident indicator and spreads between offered rates in the Lebanese market. The model will lead to assess behavioral liquidation maturity to deposits and understand their liquidity risk profile. This will be helpful for the funding liquidity risk management at Bank Audi. Large financial institutions are supposed to hold large positions of given assets. The last topic is related to market liquidity risk management. We suppose an investor holds a large position of a given asset. Then at time 0, a severe shock causes a large depreciation of the asset value and makes the investor decides to liquidate the portfolio as soon as possible with limited losses. Stock returns are modeled by GARCH process which has tail behaviors after large variation at time 0. Trading on liquid and illiquid markets, we provide the trader with best exit trading strategy maximizing his utility function, finally we incorporate into the model an expert opinion which will help the investor in taking the decision
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Berg, Hannah. "Liquidity Risk and Mutual Fund Manager’s Stock Choice." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2089.
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Liquidity risk is a large issue faced by mutual funds. Large funds typically trade in size, and these large sizes often have a significant impact on prices. My hypothesis is that large funds will not invest in illiquid assets as much as smaller funds due to the price sensitivity of illiquid assets. While this seems obvious, the results from this study are not in agreement with this hypothesis. My paper finds that as the illiquidity of a stock increases, so does the probability that a large fund invests in the stock.
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Ismal, Rifki. "The management of liquidity risk in Islamic banks : the case of Indonesia." Thesis, Durham University, 2010. http://etheses.dur.ac.uk/550/.
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Islamic banking and finance has shown progressive development all over the world since its inception as a commercial banking model in mid-1970s. Indonesia, as the largest Moslem nation in the world, has initiated some policies to expand the Islamic banking industry in the country. Similar to conventional banks, Islamic banks face a number of risk areas, which may affect their performance and operations. One of such risk areas is liquidity risk, which shows additional features in the case of Islamic banks. Both the international banking standards and the Sharia guidance suggest that banks should have: robust liquidity risk management policies, a responsive asset and liability committee, effective information and internal control systems and, methods for managing deposits to reduce on-demand liquidity, to manage liquidity risk. The aim of this research, hence, is to analyze the management of liquidity risk in Islamic banks through balancing assets and liabilities with the ultimate objective to recommend policies to improve the management of liquidity risk. This aim is fulfilled in the case of Indonesian Islamic banking industry. The data collection and analysis method in this research involve triangulation method with a combination of quantitative and qualitative methods to achieve such aim and objective. Particularly, both the performance analysis of the industry and the econometric time series analysis were conducted to analyze the liquidity risk and its management for Islamic banking, which includes the liquidity behavior of banking depositors and Islamic banks. In addition, the primary data through questionnaire survey was also assembled with the aim of knowing the actual practices and problems of managing liquidity risk. It was investigated from the perceptions of Islamic banking depositors and Islamic bankers to shed further lights on the liquidity risk issues, which were not captured in the time-series analysis. The empirical analyses conducted in this research demonstrate: (i) the non optimal organizational structure of Islamic banks to manage liquidity, (ii) the significant demand for liquidity withdrawals from depositors and fragility of Islamic banks to mitigate certain scenarios of liquidity withdrawals, (iii) critical factors explaining liquidity behavior of banking depositors and Islamic banks, (iv) reasons for depositors to withdraw funds from Islamic banks and the non ideal management of funds by Islamic banks and, (v) the limited Islamic money market instruments to manage the demand for liquidity from depositors. Based on these findings, the research then constructs an integrated and comprehensive program to manage liquidity risk, which consists of three elements: (i) institutional deepening, (ii) restructuring the management of liquidity on the asset and liability sides and, (iii) revitalizing the usage of Islamic liquid instruments. This integrated and comprehensive program of liquidity risk management recommends a better way of managing liquidity risk based on Sharia compliant instruments and international standard banking practices
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Schmaltz, Christian. "A quantitative liquidity model for banks." Wiesbaden : Gabler, 2009. http://d-nb.info/996419934/04.
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Batin, Artyom. "Risk management in microfinance institutions." Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-201080.
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In the following paper I have tried to find the correlation between type of ownership and effective risk management in the operations of microfinance institutions in India. The results found are consistent with the current findings of how the type of ownership does not impact both the financial or social performance of MFIs. Dataset of 72 MFIs was acquired from the Microfinance Information Exchange on MFIs and evaluated using an OLS regression. The results show that the type of ownership insignificantly impacts both the credit and liquidity risk ratios of MFIs. It is possible that the impact of ownership type is more evident in other aspects of operations. In the future, a study on type of ownership and exposure to strategic and market risks could be a way forward.
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Theart, Lomari. "Liquidity as an investment style : evidence from the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/86258.
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Thesis (MComm)--Stellenbosch University, 2014.ENGLISH ABSTRACT: Individual and institutional investors alike are continuously searching for investment styles and strategies that can yield enhanced risk-adjusted portfolio returns. In this regard, a number of investment styles have emerged in empirical analysis as explanatory factors of portfolio return. These include size (the rationale that small stocks outperform large stocks), value (high book-to-market ratio stocks outperform low book-to-market ratio stocks) and momentum (stocks currently outperforming will continue to do so). During the mid-eighties it has been proposed that liquidity (investing in low liquidity stocks relative to high liquidity stocks) is a missing investment style that can further enhance the risk-adjusted performance in the United States equity market. In the South African equity market this so-called liquidity effect, however, has remained largely unexplored. The focus of this study was therefore to determine whether the liquidity effect is prevalent in the South African equity market and whether by employing a liquidity strategy an investor could enhance risk-adjusted returns. This study was conducted over a period of 17 years, from 1996 to 2012. As a primary objective, this study analysed liquidity as a risk factor affecting portfolio returns, first as a residual purged from the influence of the market premium, size and book-to-market (value/growth) factors, and then in the presence of these explanatory factors affecting stock returns. Next, as a secondary objective, this study explored whether incorporating a liquidity style into passive portfolio strategies yielded enhanced risk-adjusted performance relative to other pure-liquidity and liquidity-neutral passive ‘style index’ strategies. The results from this study indicated that liquidity is not a statistically significant risk factor affecting broad market returns in the South African equity market. Instead the effect of liquidity is significant in small and low liquidity portfolios only. However, the study indicated that including liquidity as a risk factor improved the Fama-French three-factor model in capturing shared variation in stock returns. Lastly, incorporating a liquidity style into passive portfolio strategies yielded weak evidence of enhanced risk-adjusted performance relative to other pure-liquidity and liquidity-neutral passive ‘style index’ strategies. This research ultimately provided a better understanding of the return generating process of the South African equity market. It analysed previously omitted variables and gave an indication of how these factors influence returns. Furthermore, in analysing the risk- adjusted performance of liquidity-biased portfolio strategies, light was shed upon how a liquidity bias could influence portfolio returns.
AFRIKAANSE OPSOMMING: Individuele en institusionele beleggers is voortdurend op soek na beleggingstyle en strategieë wat verhoogde risiko-aangepaste portefeulje-opbrengste kan lewer. In hierdie verband is ’n aantal beleggingstyle deur empiriese analise geïdentifiseer as verklarende faktore van portefeulje-opbrengs. Hierdie style sluit in: grootte (die rasionaal dat klein aandele beter presteer as groot aandele), waarde (hoë boek-tot-mark verhouding aandele presteer beter as lae boek-tot-mark verhouding aandele) en momentum (aandele wat tans oorpresteer sal daarmee voortduur). Gedurende die midtagtigs is dit aangevoer dat likiditeit (die belegging in lae likiditeit aandele relatief tot hoë likiditeit aandele) ’n ontbrekende beleggingstyl is wat die risiko- aangepaste prestasie in die Verenigde State van Amerika (VSA) aandelemark verder kan verhoog. In die Suid-Afrikaanse aandelemark bly hierdie sogenaamde likiditeit-effek egter grootliks onverken. Die fokus van hierdie studie was dus om te bepaal of die likiditeit-effek teenwoordig is in die Suid-Afrikaanse aandelemark en of dit vir ’n belegger moontlik is om risiko-aangepaste opbrengste te verbeter deur ’n likiditeit-strategie te volg. Die studie is uitgevoer oor ’n tydperk van 17 jaar, vanaf 1996 tot 2012. As ’n primêre doelwit het hierdie studie likiditeit ontleed as ’n risiko faktor van portefeulje-opbrengste, eers as ’n residu-effek vry van die invloed van die markpremie, grootte en boek-tot-mark (waarde/groei) faktore, en daarna in die teenwoordigheid van hierdie verklarende faktore van aandeel opbrengste. As ’n sekondêre doelwit, het hierdie studie ondersoek of die insluiting van ’n likiditeit-styl in passiewe portefeulje-strategieë verbeterde risiko- aangepaste prestasie kan lewer relatief tot ander suiwer-likiditeit en likiditeit-neutrale passiewe ‘styl indeks’ strategieë. Die resultate van hierdie studie het aangedui dat likiditeit nie ’n statisties beduidende risiko faktor is wat die breë markopbrengs in die Suid-Afrikaanse aandelemark beïnvloed nie. In plaas daarvan is die effek van likiditeit beperk tot slegs klein en lae likiditeit portefeuljes. Die studie het wel aangedui dat die insluiting van likiditeit as ’n risiko faktor die Fama- French drie-faktor model verbeter in sy vermoë om die gedeelde variasie in aandeel opbrengste te verduidelik. Laastens lewer passiewe portefeulje strategieë, geïnkorporeer met ’n likiditeit-styl, swak bewyse van verbeterde risiko-aangepaste opbrengs relatief tot ander suiwer-likiditeit en likiditeit-neutrale passiewe ‘styl indeks’ strategieë. Hierdie navorsing verskaf ’n beter begrip van die opbrengs-genererende proses van die Suid-Afrikaanse aandelemark. Dit ontleed voorheen weggelate veranderlikes en gee ’n aanduiding van hoe hierdie faktore opbrengste beïnvloed. Daarbenewens word lig gewerp op die invloed van ’n likiditeit vooroordeel op portefeulje-opbrengste deur die risiko- aangepaste opbrengs van likiditeit-bevooroordeelde strategieë te analiseer.
Books on the topic "Liquidity risk management"
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Venkat, Shyam, and Stephen Baird. Liquidity Risk Management. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2016. http://dx.doi.org/10.1002/9781118898130.
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Garleanu, Nicolae. Liquidity and risk management. Cambridge, Mass: National Bureau of Economic Research, 2007.
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Garleanu, Nicolae B. Liquidity and risk management. Cambridge, MA: National Bureau of Economic Research, 2007.
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Banks, Erik. Liquidity Risk: Managing Asset and Funding Risks. Basingstoke: Palgrave Macmillan, 2004.
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Ruozi, Roberto, and Pierpaolo Ferrari. Liquidity Risk Management in Banks. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. http://dx.doi.org/10.1007/978-3-642-29581-2.
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Adalsteinsson, Gudni. The Liquidity Risk Management Guide. Chichester, UK: John Wiley & Sons, Ltd, 2014. http://dx.doi.org/10.1002/9781118858035.
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Matz, Leonard, and Peter Neu, eds. Liquidity Risk Measurement and Management. 2 Clementi Loop, #02-01, Singapore 129809: John Wiley & Sons (Asia) Pte Ltd, 2006. http://dx.doi.org/10.1002/9781118390399.
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Market liquidity risk: Implications for asset pricing, risk management, and financial regulation. New York, NY: Palgrave Macmillan, 2015.
Find full textBook chapters on the topic "Liquidity risk management"
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Banks, Erik. "Liquidity Crisis Management." In Liquidity Risk, 189–200. London: Palgrave Macmillan UK, 2005. http://dx.doi.org/10.1057/9780230508118_10.
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Banks, Erik. "Liquidity Crisis Management." In Liquidity Risk, 227–41. London: Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137374400_10.
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García, Francisco Javier Población. "Liquidity Risk." In Financial Risk Management, 293–303. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_14.
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Li, Larry. "Liquidity Risk." In Commercial Banking Risk Management, 103–19. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-59442-6_5.
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Banks, Erik. "Summary: Toward Active Liquidity Risk Management." In Liquidity Risk, 201–10. London: Palgrave Macmillan UK, 2005. http://dx.doi.org/10.1057/9780230508118_11.
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Roncalli, Thierry. "Liquidity Risk." In Handbook of Financial Risk Management, 347–67. Boca Raton : CRC Press, 2020. | Series: Chapman and Hall/CRC financial mathematics series: Chapman and Hall/CRC, 2020. http://dx.doi.org/10.1201/9781315144597-6.
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Szylar, Christian. "Liquidity Risk." In Risk Management under UCITS III/IV, 199–208. Hoboken, NJ USA: John Wiley & Sons, Inc., 2013. http://dx.doi.org/10.1002/9781118557709.ch11.
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Wieser, Christoph. "Liquidity Risk Management." In Quantification of Structural Liquidity Risk in Banks, 23–35. Wiesbaden: Springer Fachmedien Wiesbaden, 2022. http://dx.doi.org/10.1007/978-3-658-39593-3_4.
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Banks, Erik. "Summary: The Future of Active Liquidity Risk Management." In Liquidity Risk, 259–69. London: Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137374400_12.
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Baird, Stephen. "Liquidity Stress Testing." In Liquidity Risk Management, 27–54. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2016. http://dx.doi.org/10.1002/9781118898130.ch3.
Full textConference papers on the topic "Liquidity risk management"
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Mihalech, Patrik. "Modelling of Non-Maturing Liabilities in Survival Period for Liquidity Risk Management Purposes." In Fifth International Scientific Conference ITEMA Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/itema.2021.73.
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Correct assessment of banking risks is essential for a healthy banking system and the development of economy. This paper focuses on liquidity risk management, more specifically on modelling of non-maturing liabilities. Liquidity risk emerges as a consequence of uncertainty in terms of future cash inflows and outflows. Due to the fact, that result of a liquidity crisis is not only loss, but directly bankruptcy of financial institutions, liquidity risk belongs among major banking risks. This paper aims to project future cash outflows emerging from corporate deposit accounts without contractual maturity with a focus on stress outflows, in case of crisis. Bootstrap simulation techniques are introduced and performed on anonymized historical time series of cumulative corporate balances of Slovak commercial banks. Stress scenario based on analysis is proposed as entry to the calculation of broader liquidity Survival period indicator.
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Stoyanov, Biser, Hans Wilhelm Wieczorrek, and Anatoliy Antonov. "Liquidity management using Cash Flow at Risk." In 2008 4th International IEEE Conference "Intelligent Systems" (IS). IEEE, 2008. http://dx.doi.org/10.1109/is.2008.4670466.
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Li, Yuanhui. "Empirical Research of Liquidity Risk Based on China's Stock Market." In 2008 International Conference on Risk Management & Engineering Management. IEEE, 2008. http://dx.doi.org/10.1109/icrmem.2008.73.
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Irawati, Dwi, and Intan Puspitasari. "Liquidity Risk of Islamic Banks in Indonesia." In Proceedings of the International Conference on Banking, Accounting, Management, and Economics (ICOBAME 2018). Paris, France: Atlantis Press, 2019. http://dx.doi.org/10.2991/icobame-18.2019.7.
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Liu, Yueying. "Evaluation of Liquidity Risk of Commercial Banks." In Proceedings of the 2019 3rd International Conference on Education, Management Science and Economics (ICEMSE 2019). Paris, France: Atlantis Press, 2019. http://dx.doi.org/10.2991/icemse-19.2019.121.
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Xin-Song, Yang, and Li Zhao. "The Management to Commercial Bank's Reserve Based on Liquidity Risk." In 2009 International Conference on Information Management, Innovation Management and Industrial Engineering. IEEE, 2009. http://dx.doi.org/10.1109/iciii.2009.565.
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Arzevitin, Stanislav, Igor Britchenko, and Anatoly Kosov. "Banking liquidity as a leading approach to risk management." In Proceedings of the 3rd International Conference on Social, Economic, and Academic Leadership (ICSEAL 2019). Paris, France: Atlantis Press, 2019. http://dx.doi.org/10.2991/icseal-19.2019.26.
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Liu, Yan, Huilin An, and Changliang Gong. "Liquidity Risk Rating for Commercial Banks and its Empirical Study." In 2010 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2010. http://dx.doi.org/10.1109/iciii.2010.83.
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Du, Jinmin, Han Lv, and Junlong Wang. "Monetary Policy and Liquidity Risk- Evidence from Chinese Banks." In International Conference on Education, Management, Computer and Society. Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/emcs-16.2016.34.
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Puspa Anggita, Lia, Yessi Sasmita Anggun, Amir Machmud, and Ikaputera Waspada. "Liquidity Risk Management: A Study in Islamic Bank of Indonesian." In 2nd International Conference on Economic Education and Entrepreneurship. SCITEPRESS - Science and Technology Publications, 2017. http://dx.doi.org/10.5220/0006886703890392.
Full textReports on the topic "Liquidity risk management"
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Garleanu, Nicolae, and Lasse Pedersen. Liquidity and Risk Management. Cambridge, MA: National Bureau of Economic Research, February 2007. http://dx.doi.org/10.3386/w12887.
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Brunnermeier, Markus, and Motohiro Yogo. A Note on Liquidity Risk Management. Cambridge, MA: National Bureau of Economic Research, February 2009. http://dx.doi.org/10.3386/w14727.
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Lin, Chen, Thomas Schmid, and Michael Weisbach. Price Risk, Production Flexibility, and Liquidity Management: Evidence from Electricity Generating Firms. Cambridge, MA: National Bureau of Economic Research, May 2017. http://dx.doi.org/10.3386/w23434.
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