Dissertations / Theses: '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 décision
The 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.

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Ilerisoy, Mahmut. "Essays on liquidity risk, credit market contagion, and corporate cash holdings." Diss., University of Iowa, 2015. https://ir.uiowa.edu/etd/1855.

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This thesis consists of three chapters and investigates the issues related to liquidity risk, credit market contagion, and corporate cash holdings. The first chapter is coauthored work with Professor Jay Sa-Aadu and Associate Professor Ashish Tiwari and is titled ‘Market Liquidity, Funding Liquidity, and Hedge Fund Performance.’ The second chapter is sole-authored and is titled ‘Credit Market Contagion and Liquidity Shocks.’ The third chapter is coauthored with Steven Savoy and titled ‘Ambiguity Aversion and Corporate Cash Holdings.’ The first chapter examines the interaction between hedge funds’ performance and their market liquidity risk and funding liquidity risk. Using a 2-state Markov regime switching model we identify regimes with low and high market-wide liquidity. While funds with high market liquidity risk exposures earn a premium in the high liquidity regime, this premium vanishes in the low liquidity states. Moreover, funding liquidity risk, measured by the sensitivity of a hedge fund’s return to the Treasury-Eurodollar (TED) spread, is an important determinant of fund performance. Hedge funds with high loadings on the TED spread underperform low-loading funds by about 0.49% (10.98%) annually in the high (low) liquidity regime, during 1994-2012. The second chapter provides evidence on credit market contagion using CDS index data and identifies the channels through which contagion propagates in credit markets. The results show that funding liquidity and market liquidity are significant channels of contagion during periods with widening credit spreads and adverse liquidity shocks. These results provide support for the theoretical model proposed by Brunnermeier and Pedersen (2009) according to which negative liquidity spirals can lead to contagion across various asset classes. Furthermore, during periods with tightening credit spreads and positive liquidity shocks, the results indicate that a prime broker index and a bank index are important channels contributing to co-movement in credit spreads. This suggests that financial intermediaries play an important role in spreading market rallies across credit markets. The third chapter investigates the link between investors’ ambiguity aversion and precautionary corporate cash holdings. Investors’ ambiguity aversion is measured by the proportion of individual investors in a firm’s investor base who are hypothesized to be more ambiguity averse compared to institutional investors. We show that the value of cash holdings is negatively associated with the extent of ambiguity aversion in a firm’s shareholder base for firms that are financially constrained. Our results also show that financially constrained firms with a higher proportion of ambiguity averse investors hold less cash. These results provide support for models in which ambiguity averse investors dislike the cash holdings of firms, that are held for precautionary reasons to fund long term projects, given that the returns on long term projects are ambiguous.

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Magagula, Sifiso Charles. "Liquidity linkages between the South African bond and equity markets." Thesis, Nelson Mandela Metropolitan University, 2014. http://hdl.handle.net/10948/d1020758.

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Purpose - The study sought to examine the liquidity linkages between the South African bond and equity markets before the global financial crisis in 2008. Design/methodology/approach: The window of observation covered the period January 2000 to September 2008. In order to ensure robustness in the estimation, the study used foreign participation in the various markets as an additional measure of liquidity. The other liquidity measures considered in the study were volume and value traded of the various securities respectively. Time series modeling techniques were used in the estimation. An unrestricted vector autoregressive (VAR) model was estimated following which the standard innovation accounting techniques, impulse response functions and forecast error variance decompositions were applied. In the empirical analysis, the Granger-causality between the two markets was also used. Findings - While all the liquidity measures suggest the existence of linkages between the bond and equity markets, the direction of causality was found to be unidirectional from equity to the bond market using the volume and value measures. On the other hand, the foreign participation measure of liquidity suggests bi-directional causality. The study also provides evidence of long run relationship between key macroeconomic variables such as inflation, exchange rate and interest rate on one hand and liquidity in the debt and equity markets on the other. As empirical findings indicates that the linkages in liquidity between these markets positive, this consistent with studies conducted by Chordia et al (2003 & 2005) and Engsted and Tanggaard (2000) who found the relationship was a positive one. When volumes of trade and trade values, the study find evidence on uni-directional causality and strong bi-directional causality is evidence when foreign investor participation is used as a liquidity measure. In summary, there is a strong evidence liquidity linkage between the bond and equity market from the empirical results.

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Obaleye, Olabanjo Johnson. "Relationship Between Liquidity, Asset Quality, and Profitability of Mortgage Banks in Nigeria." ScholarWorks, 2018. https://scholarworks.waldenu.edu/dissertations/6254.

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Liquidity (LQ) and asset quality (AQ) management present significant challenges to mortgage bankers in their efforts to improve profitability (PR). When liquidity increases, there is no positive impact on mortgage asset growth; however, this trend indicates that asset management and liquidity positions are not well managed. To run a viable mortgage business, mortgage bankers need to have a good grasp of the association between LQ, AQ, and PR. Anchored in the profit theory paradigm, the purpose of this multiple regression study was to examine the relationship between LQ, AQ, and PR of mortgage banks (MBs) in Nigeria. Archival financial data of 16 randomly sampled MBs covering a period of 8 years from 2009 to 2016 were used. Data were analyzed using multiple panel regression incorporating two PR models, net interest margin (NIM) and return on asset (ROA). The regression result indicated that LQ and AQ constructs significantly predicted PR as measured by NIM because F (8, 80) = 2.061, p = 0.014, p < 0.05, and effect size given by R2 = 0.458, signifying 46% variation in NIM. The model of PR as measured by ROA also indicated that LQ and AQ constructs were significant because F (8, 80) = 4.043, p = 0.000, p < 0.05, with effect size measured by R2 = 0.624, indicating 62% variation in ROA. The findings emphasized the need for optimization of LQ and AQ to maximize PR. The implications for positive social change include the potential to provide the business leaders in the mortgage industry with knowledge about optimization of LQ and AQ as drivers of PR. In addition, when business owners achieve increase profitability, they may provide more employment opportunities, better working conditions, better compensation plans, and more access to mortgage finance options.

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Genupskytė, Renata. "Likvidumo rizikos įvertinimas ir valdymas AB DnB NORD banko pavyzdžiu." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2009~D_20090909_084948-13828.

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Esant sudėtingai pasaulinei ekonomikos situacijai ir abejojant finansinių institucijų patikimumu likvidumo rizikos įvertinimas ir valdymas tampa aktualia problema. Komercinio banko likvidumo rizikos valdymo metodika turi sujungti rizikos valdymą į vieną bendrą procesą ir suderinti saugumo, likvidumo ir pelningumo principus. Magistro darbe pateikti Lietuvos ir užsienio autorių teoriniai rizikos įvertinimo ir valdymo aspektai bei apibendrinti likvidumo rizikai įvertinti ir valdyti naudojami esminiai valdymo principai ir metodai,. Išsamiai atlikta AB DnB NORD banko likvidumo rizikos analizė, remiantis likvidumo rodiklių sistema, normatyviniais Lietuvos banko nustatytais dydžiais bei testavimo nepalankiausiomis sąlygomis metodu, pasiūlytos banko likvidumo rizikos vertinimo ir valdymo metodikos tobulinimo galimybės. Tyrimo metodai: lyginamoji analizė, analitinis duomenų grupavimas, aprašomosios statistikos metodai, indukcijos, dedukcijos, analogijos bei asociacijos metodai. Atliekant teorinę ir praktinę analizę vertinama aktuali mokslinė, bei statistinė literatūra, naudojamas kiekybinis gautų rezultatų vertinimas, iliustruojama lentelėmis ir paveikslais.
Under the conditions of complex global economic situation and the uncertainty of reliability of financial institutions liquidity risk assessment and management is becoming an urgent problem. Commercial bank liquidity risk management methodology owns to combine risk management into a single process and comprise the principles of security, liquidity and profitability. Master's work summarizes the liquidity risk assessment and management principles and techniques, structures Lithuanian and foreign authors' theoretical risk assessment and management aspects in commercial banks. A detailed DnB NORD bank liquidity risk assessment and analysis, based on the liquidity indices system, normative values, established by the Bank of Lithuania, and stress testing method, has been accomplished and the improvement opportunities of bank's liquidity risk measurement and management techniques have been established. Research methods: comparative analysis, the analytical group data, descriptive statistical methods, induction, deduction, analogy and association methods. Carrying the theoretical and practical analysis the relevant scientific and statistical literature has been evaluated, quantitative assessment of the obtained results has been performed and illustrated by tables and images.

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Alhassan, Abdulrahman. "Global Market Liquidity and Corporate Investments." ScholarWorks@UNO, 2017. http://scholarworks.uno.edu/td/2372.

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The dissertation consists of two essays. The first essay investigates how oil market factors impact on liquidity commonality in global equity markets. I identify two transmitting channels of the effect on liquidity commonality, namely oil price return and volatility. Using a sample of firms drawn from 50 countries spanning from Jan 1995 to Dec 2015, I find that both effects in oil explain the liquidity commonality in countries with higher integration to oil market. In addition, I show that oil volatility effect is more pronounced in net oil exporters compared to net oil importers after controlling for oil sensitivity. My findings suggest that oil volatility effect on liquidity commonality is more substantial for high oil sensitive countries than oil price return effect except five OPEC members, where liquidity commonality is highly influenced by oil the return along with volatility. These results are robust to controlling for possible sources of liquidity commonality as found in the literature. In the second essay, I study the impact of stock liquidity on firms’ future investments. Since stock liquidity decreases the cost of equity, I expect firms’ future investments to increase with stock liquidity. Secondly, I argue that this relation is more pronounced in more financially constrained firms because of their limited access to external capital. Using a sample of more than 9800 firms, from 21 emerging markets and spanning from 2000 to 2015, I find supportive and robust evidence of a positive association between stock liquidity and firms’ future investments. Furthermore, my findings strongly suggest that the liquidity impact on corporate investments is highly influenced by the firms’ financial constraint levels, using four different definitions of financial constraints. My findings are robust due to controlling for other determinants of future investment suggested in the previous literature, and due to controlling for the country and time effects. In addition, the results seem to be consistent with the use of alternative measures of corporate investments and stock liquidity and with alternative model specifications and estimation methodologies.

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Aldoseri, Mahfod. "A Comparison of Credit, Liquidity and Operational Risk Management in Islamic and Conventional Banks: Evidence from Saudi Arabia." Thesis, Griffith University, 2017. http://hdl.handle.net/10072/380068.

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Like their conventional counterparts, Islamic banks face a variety of risks when conducting business, including operational, credit, liquidity, foreign exchange, interest rate, and market risk. To address these risks, banks of all types employ risk management practices as a way of improving bank performance and reducing any potential damage. The purpose of this thesis is to examine the risk management practices implemented in both Islamic and conventional banks in Saudi Arabia, the primary focus being the analysis of the relationship between risk management practices and financial performance, concentrating on the operational, credit and liquidity risks prevalent in Saudi Arabia, and the effectiveness of current risk-management strategies and practices. There is particular attention on the differences in risk management practice in both types of banks and the implications this may have for their performance and sustainability. The empirical analysis employs a sample of 12 banks operating in Saudi Arabia throughout the period from 2005 to 2014. Eight of these are conventional banks and the remainder are Islamic banks. The thesis employs a two-step approach to analyze risk management practices. In the first step, financial data is used to quantitatively determine the credit, liquidity, and operational risks faced by both Islamic and conventional banks within Saudi Arabia, the aim being to recognise the level of influence each aspect plays in risk management practices. To accomplish the objective of analysing the relationships between risk management practices and financial performance, the thesis also examines the current risk situation in both Islamic and conventional banks. The posited determinants of risk include bank size, non-performing loans (NPLs), the capital adequacy ratio (CAR), the debt-to-equity ratio (DER), asset management (ASM) and management efficiency (MGT). Mann–Whitney tests reveal no statistically significant difference between Islamic and conventional banking in terms of operational risk. Therefore, we reject the hypothesis that Islamic banks have less exposure to operational risks than conventional banks, along with the hypothesis that argues that Islamic banks are generally less exposed to liquidity risks than conventional banks. The difference between the mean values suggests that conventional banks hold more liquid assets than Islamic bank and that banks providing Islamic products and services are less exposed to credit risks than other banks. Overall, conventional banks in Saudi Arabia have a higher return on equity than Islamic banks. Conventional banks also appear to perform more efficiently than Islamic banks. This has important implications for the future business behavior of the Islamic banking sector in Saudi Arabia. In the second step, the thesis draws on a purpose-built survey to gather information relating to current risk management practices in Islamic and conventional banks. The analysis scores each Islamic bank according to its risk management practices, and compares across important categories of practice, including Understanding Risk and Risk Management (URM); Risk Identification (RI); Risk Assessment and Analysis (RAA); Risk Monitoring (RM); and Credit Risk Analysis (CRA). This enables a finer analysis of the possible reasons for any deficiencies in risk management practices using the institution-level data in the first analysis. The results demonstrate that all of these practices play an important role in determining the efficiency and effectiveness of bank risk management in the banks concerned. However, risk assessment and analysis (RAA) and risk monitoring (RM) are the most influential in determining the quality of credit, liquidity, and operational risk management. This suggests that both Islamic and conventional banks in Saudi Arabia need to concentrate more on these areas. In contrast, the most significant factor in liquidity risk management practice is comprehension of the potential risks and risk management (URM). This thesis adds to the extant literature in several ways. Foremost is that this is first study conducted specifically using Saudi Arabian banks which examines the risk management practices applied by both Islamic and conventional banks, focusing on their operational, credit and liquidity risks. The findings of this research are informative for banking stakeholders, including policy makers, regulators, the central bank, government, and bank managers, both in Saudi Arabia and other developing countries with a dual-banking system including Islamic banks. Although this thesis has contributed significantly towards our knowledge of risk management practices in banking, it does include some limitations, all of which suggest future directions for research. Most importantly, the results in part rely solely on self-reporting by participants, which may not reflect changes in credit, liquidity and operational risks over time. The cross-sectional data in the survey may also be affected by the participant previous experiences or by their psychological state at the time of completing the survey.
Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Dept Account,Finance & Econ
Griffith Business School
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Esterhuysen, Ja'nel Tobias. "The financial crisis : reforming the South African risk management environment / Ja'nel Tobias Esterhuysen." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4415.

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The global financial crisis that commenced in June 2007 has been described as the most serious financial crisis since the Great Depression of the 1930s. It resulted in considerable international distress with almost all major banks experiencing capital shortages and some defaulting outright. Among the principal causes was an explosive increase - by a factor of ten in some cases - in credit defaults precipitated by lax lending standards which prevailed for several years. The crisis caused several major institutions to fail (and be subsequently acquired under duress): many of these were subject to takeovers by their relevant sovereigns, including - amongst others - Lehman Brothers, Merrill Lynch, Fannie Mae, Freddie Mac and American International Group and AIG. The financial crisis is believed to be directly responsible for the bleak forecasts (2009 and beyond) faced by the global economy. The measure of global volatility, the VIX, trebled in the third quarter of 2008, interest rate spreads between government fixed income securities and interbank rates widened to unprecedented levels, global inflation threatened an already fragile, volatile marketplace, corporate and retail loan default rates rose and downgrades of large financial institutions (such as US Monoline bond insurers)and manycorporates were experienced by major rating agencies during the first quarter of 2009. The aim of this thesis was to discuss and critically evaluate how the financial crisis has impacted banking risks and also the effect it had on international banks. This has been accomplished through the modification of existing risk measurement techniques and, in some cases, through the development of new techniques, when older risk models proved to be inadequate. A principal secondary aim of the thesis was the testing of these methodologies - in real-world contexts - to ascertain their reliability and robustness concomitant with the adaptation of these methodologies in the light of the new empirical evidence. Important other secondary objectives were the development of novel approaches w0here the research results required it and and the introduction of practical ways to use the results of the thesis in a post-crisis bank risk management environment. Some of the bank asset portfolios that were investigated in the thesis were generated bysimulated data to replicate specific characteristics during the crisis, while the other portfolios comprised entirelyof empirical data. The first objective, of the thesis, was to determine the effect of stressed economic conditions on b.erational risk loss distributions. The depth and duration of the credit crisis have highlighted a number of problems in modern finance. Banks have been accused of excessive risk taking, rating agencies of severe conflicts of interest, central banks of neglecting the inflation of asset price bubbles and national supervisors of laxregulatorycontrols. Credit and market losses have been considerable. Operational losses have also surged as surviving corporates merge or acquire less fortunate ones without the requisite controls. As more jobs get made redundant it is believed that employees revert to internal fraud as their sources of income have dried up drasticallyand stealing from the institution seems to b.tional losses have been affected has been presented and a comparison has been made between operational loss characteristics pre and during the crisis. Some of the main findings were that operational losses have shown little change in frequency, but shown a significant increase in severity, meaning that their financial impact has been more severe during the crisis. It is safe to saythat the financial crisis most definitelyin.creased operational risk in banks much more severe losses. The second objective was to focus on the effect of the stressed economic conditions on the applicability and effectiveness of the credit risk measurement methodologies and the minimum capital requirements, pre.scribed to banks in Basel II. The robustness of the Basel II accord in protecting banks during volatile eco.nomic periods has been challenged in the ongoing financial crisis. Advanced approaches to measuring and managing credit risk in particular have drawn criticism for being too complexand irrelevant. Despite accusa.tions that the accord was largelyresponsible for the crisis, this studyexplored which of Basel II's credit risk approaches were more successful in measuring the bank?s credit risk and calculating the required minimum capital charge for the bank. It was found that, in general, compliance with Basel II actuallyprotected banks during the crisis with the simpler approaches enjoying greater success than more advanced ones, in protect.ing banks against credit risk. The third objective was to appraise the effect of stressed economic conditions on the systemic risk within the South African Banking sector. The financial crisis resulted in increases in credit-, market-and opera.tional risk, but it mayalso have precipitated a surge in systemic risk. Measuring systemic risk as the price of insurance against distressed losses in the South African banking sector, this studyillustrated that the finan.cial crisis has in fact resulted in an increase in systemic risk. Using probabilities of default and asset return correlations as systemic risk indicators, it was established that the financial crisis has indeed increased sys.temic risk in South Africa. The impact was, however, less severe than that experienced in other large interna.tional banks. The fourth and final objective of this studywas to focus on liquiditycreation in South African banks under stressed economic conditions. The financial crisis placed severe pressure on global bank liquidity. Many banks were unable to create sufficient liquidityand had to receive government support or face default. This studyillustrated the impact of the financial crisis on liquiditycreation within South African banks using a model previouslyapplied to US banks. Four measures of liquiditycreation are discussed and applied to data spanning 2004 ? 2009. Although created liquiditydecreased steeplyfrom 2007, liquidity levels in 2009re.main about 45% higher than those of 2004. The four large South African banks created about 80% of the total market liquidity, and a possible reason for this is that these banks have verylarge retail divisions, which have assisted them in creating much more liquiditythan the smaller banks which have much smaller retail divisions. In conclusion, and as illustrated through the findings of this study, the financial crisis did impact the major banking risks on various levels and it is therefore safe to saythat the financial crisis has reformed the interna.tional risk management environment and will also do so in the years to come.
Thesis (Ph.D. (Economics))--North-West University, Potchefstroom Campus, 2011.

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Machankovienė, Jelena. "Likvidumo rizikos vadybos tobulinimas Lietuvos kredito įstaigose." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20090219_091341-73210.

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Magistro baigiamajame darbe išanalizuota ir įvertinta Lietuvos kredito įstaigų likvidumo rizikos vadybos tobulinimo galimybė. Pateikti siūlymai kaip patobulinti bankų aktyvų ir pasyvų valdymo sistemos efektyvumą. Pirmoje darbo dalyje teoriniu aspektu tiriamas bankų rizikos turinys, pateikiama bankų rizikos esmė bei klasifikavimo galimybės. Antroje dalyje nagrinėjamos aktyvų ir pasyvų strategijos, teorijos bei metodai. Trečioje dalyje analizuojamos ir vertinamos Lietuvos komercinių bankų veiklos bei likvidumo rizikos rodikliai, pokyčių tendencijos.
In Master‘ s Work is analysed and evaluated opportunity and effectiveness an of development liquidity of management in Lithuanian Banks of. There are provided to the possibilities to improve activity of bank. In the first part of this work we’ve provided conception of risk management and different risk classification models. In the second part of this work there are consideratios strategy, theories and methods of assets and liabilities. In the third part of work analyse and there is an evaluation at liquidity risk rates of Lithuanian commercial banks, also tendency of changes.

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Roşu, Alina. "Three Essays in Asset Management." Thesis, Université Paris-Saclay (ComUE), 2016. http://www.theses.fr/2016SACLH014/document.

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Le premier chapitre montre que les rendements des fonds investis dans des actions illiquides (“fonds illiquides”) sont mieux que ceux des fonds investis dans des actions liquides. Cette différence provient des capacités de fonds illiquides de sélectionner les actions. Les actions détenues par les fonds illiquides ont une meilleure performance que des portefeuilles qui ont les mêmes caractéristiques. Les fonds liquides déclarent des indices de référence par rapport auxquels leurs rendements sont plus importants. Un portefeuille d’actions détenues par les fonds illiquides a une meilleure performance qu’un portefeuille d’actions détenues par les fonds liquides. Le second chapitre documente une prédictibilité des rendements. Dans ce chapitre, les périodes d’opportunités sont les périodes où les rendements des actions faisant l’objet d’une analyse régulière par les analystes (les actions suivies) s'écartent de ceux des actions qui ne sont pas suivie (les actions négligés). Les rendements ultérieurs des actions faciles à évaluer sont plus importants quand les opportunités étaient grandes, par rapport aux périodes où les opportunités étaient limitées. Ce comportement est cohérent avec un modelé où les investisseurs exigent une prime pour supporter le risque de sélection défavorable. Le troisième chapitre explore les moments où les fonds d’investissement changent leur style d’investissement (le style est défini comme exposition au risque, prenant en compte les facteurs de risque habituels). Les fonds ne prennent pas plus des risques quand il serait plus rentable de le faire. Après avoir eu des mauvais rendements, les fonds se rapprochent du style des fonds similaires, mais qui ont eu des bons rendements. Le style de jeunes fonds s’écarte du style de fonds anciens. Les nouveaux gérants des fonds s’écartent du style de fonds avec des anciens gérants. Quand un fond prend plus de risque d’une côté, il n’essaye pas d’aborder systématiquement les autres côtés du risque
The first chapter shows that mutual funds that hold illiquid stocks (“illiquid funds”) outperform funds that hold liquid stocks (“liquid funds”). There is evidence this outperformance arises from stock selection skills of illiquid funds. The stocks held by illiquid funds outperform portfolios matched by characteristics. Liquid funds declare benchmarks that make their benchmarkadjusted returns appear larger. A portfolio of stocks held by illiquid funds subsequently outperforms a portfolio of stocks held by liquid funds. The second chapter documents a predictability pattern in returns. This chapter identifies high opportunities in stocks with difficult valuation as times when returns of neglected stocks diverge from returns of covered stocks. Subsequent returns of stocks with difficult valuation are higher when beginning of period opportunities are high, as compared to when beginning of period opportunities are low. This is consistent with an information risk theory, where investors demand a higher premium to hold stocks with higher probability of informed trading, because they fear adverse selection. The third chapter explores instances when mutual funds change their style (style is regarded as risk exposure alongside usual factors). Mutual funds do not take more risk when it is more profitable to do so. After performing badly, mutual funds move closer to the style of good performing peer funds. Young funds' styles diverge from the style of old peer funds. Recently hired managers diverge in style from veteran managers of peer funds. When the average fund takes more risk alongside a style dimension, it does not simultaneously consider other style dimensions

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Hilmersson, Markus. "A Study Evaluating the Liquidity Risk for Non-Maturity Deposits at a Swedish Niche Bank." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273594.

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Since the 2008 financial crisis, the interest for the subject area of modelling non-maturity deposits has been growing quickly. The area has been widely analysed from the perspective of a traditional bank where customers foremost have transactional and salary deposits. However, in recent year the Swedish banking sector has become more digitized. This has opened up opportunities for more niche banking actors to establish themselves on the market. Therefore, this study aims to examine how the theories developed and previously used in modelling liquidity volumes at traditional banks can be used at a niche bank focused on savings and investments. In this study the topics covered are short-rate modelling using Vasicek's model, liquidity volume modelling using SARIMA and SARIMAX modelling as well as liquidity risk modelling using an approach developed by Kalkbrener and Willing. When modelling the liquidity volumes the data set was divided depending on account and customer type into six groups, for four out of these the models had lower in and out of set prediction errors using SARIMA models for only two of the six models were there improvements made to the in and out of set prediction error using SARIMAX models. Finally, the resulting minimization of liquidity volume forecasting 5 years in the future gave reasonable and satisfactory results.
Sedan finanskrisen 2008 har intresset kring ämnesområdet gällande modellering av inlåningsvolymer utan en kontrakterad förfallodag ökat snabbt. Området har analyserats i stor utsträckning från perspektivet av en traditionell bank där kunder har framförallt transaktions- och lönekonton. De senaste åren har den Svenska banksektorn blivit mer digitaliserad. Detta har öppnat upp möjligheter för nischbanker att etablera sig på marknaden. Därför ämnar denna studie att undersöka hur teorier som har utvecklats och tidigare använts på traditionella banker för att modellera likviditetsvolymer kan användas på en nischbank som är fokuserad på sparande och investeringar. I denna studie modelleras korträntor med Vasicek's modell, likviditetsvolymer med SARIMA och SARIMAX modeller och likviditetsrisk med en modell utvecklad av Kalkbrener och Willing. För modelleringen av likviditetsvolymer delades likviditetsdatan upp i sex grupper baserat på konto- och kund typ. För fyra av dessa data set gav SARIMA-modeller lägre prediktionsfel och endast för två av de sex grupperna gav SARIMAX-modeller bättre resultat. Slutligen så gav den resulterande minimeringen av nödvändiga likviditetsvolymer på en 5 årig horisont rimliga och tillfredsställande resultat.

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21

Yan, Meilan. "An assessment of UK banking liquidity regulation and supervision." Thesis, Loughborough University, 2013. https://dspace.lboro.ac.uk/2134/12666.

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This thesis assesses UK banking liquidity regulation and supervision and the Basel liquidity requirements, and models banks' liquidity risk. The study reveals that the FSA's risk-assessment framework before 2008 was too general without specifically considering banks' liquidity risk (as well as its failures on Northern Rock). The study also lists the limitations of the FSA's banking liquidity regimes before 2008. The thesis reviews whether the FSA's new liquidity regimes after 2008 would have coped with UK banks' liquidity risks if they have been applied properly. The fundamental changes in the FSA's liquidity supervision reflect three considerations. First, it introduces a systemic control requirement by measuring individual fifirm's liquidity risk with a market-wide stress or combination of idiosyncratic and market-wide stresses. Second, it emphasizes the monitoring of business model risks and the capability of senior managers. Third, it allows both internal and external managers to access more information by increasing the liquidity reporting frequencies. The thesis also comments on the Basel Liquidity Principles of 2008 and the two Liquidity Standards. The Principles of 2008 represents a substantial revision of the Principles of 2000 and reflect the lessons of the fifinancial market turmoil since 2007. The study argues that the implementation of the sound principles by banks and supervisors should be fexible, but also need to be consistent to make sure they understand banks' liquidity positions quite well. The study also explains the composition of the Basel liquidity ratios as well as the side effect of Basel liquidity standards; for example, it will reshape interbank deposit markets and bond markets as a result of the increase in demand for `liquid assets' and `stable funding'. This thesis uses quantitative balance sheet liquidity analysis, based upon modified versions of the BCBS (2010b) and Moody's (2001) models, to estimate eight UK banks' short and long-term liquidity positions from 2005 to 2010 respectively. The study shows that only Barclays Bank remained liquid on a short-term basis throughout the sample period (2005-2010); while the HSBC Bank also proved liquid on a short-term basis, although not in 2008 and 2010. On a long-term basis, RBS has remained liquid since 2008 after receiving government support; while Santander UK also proved liquid, except in 2009. The other banks,especially Natwest, are shown to have faced challenging conditions, on both a short-term and long-term basis, over the sample period. This thesis also uses the Exposure-Based Cash-Flow-at-Risk (CFaR) model to forecast UK banks' liquidity risk. Based on annual data over the period 1997 to 2010, the study predicts that by the end of 2011, the (102) UK banks' average CFaR at the 95% confidence level will be -£5.76 billion, Barclays Bank's (Barclays') CFaR will be -£0.34 billion, the Royal Bank of Scotland's (RBS's) CFaR will be -£40.29 billion, HSBC Bank's (HSBC's) CFaR will be £0.67 billion, Lloyds TSB Bank's (Lloyds TSB's) CFaR will be -£4.90 billion, National Westminister Bank's (Natwest's) CFaR will be -£10.38 billion, and Nationwide Building Society's (Nationwide's) CFaR will be -£0.72 billion. Moreover, it is clear that Lloyds TSB and Natwest are associated with the largest risk, according to the biggest percentage difference between downside cash flow and expected cash flow (3600% and 816% respectively). Since I summarize a bank's liquidity risk exposure in a single number (CFaR), which is the maximum shortfall given the targeted probability level, it can be directly compared to the bank's risk tolerance and used to guide corporate risk management decisions. Finally, this thesis estimates the long-term United Kingdom economic impact of the Basel III capital and liquidity requirements. Using quarterly data over the period 1997:q1 to 2010:q2, the study employs a non-linear-in-factor probit model to show increases in bank capital and liquidity would reduce the probability of a bank crisis significantly. The study estimates the long-run cost of the Basel III requirements with a Vector Error Correction Model (VECM), which shows holding higher capital and liquidity would reduce output by a small amount but increase bank profitability in the long run. The maximum temporary net benefit and permanent net benefit is shown to be 1.284% and 35.484% of pre-crisis GDP respectively when the tangible common equity ratio stays at 10%. Assuming all UK banks also meet the Basel III long-term liquidity requirements, the temporary net benefit and permanent net benefit will be 0.347% and 14.318% of pre-crisis GDP respectively. Therefore, the results suggest that, in terms of the impact on output, there is considerable room to further tighten capital and liquidity requirements, while still providing positive effects for the United Kingdom economy.

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22

Kudinova, Julija. "Likvidumo rizikos valdymas komerciniame banke „AS UNICREDIT BANK“ pavyzdžiu." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2012. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2012~D_20120723_105005-24213.

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Esant sudėtingai ekonominei situacijai verslo rizikos įvertinimas ir valdymas tampa aktualia problema. Nestabilumas reikalauja nuolatinio dėmesio banko likvidumo vertinimui ir valdymui. Sudėtingėjant ekonominėms sąlygoms, likvidumo rizikos valdymas negali būti izoliuotas procesas. Magistro darbe išanalizuoti ir susisteminti Lietuvos ir užsienio autorių darbai likvidumo rizikos valdymo temomis. Apibendrinami esminiai likvidumo rizikos vertinimo ir valdymo metodai bei principai. Atlikta mokslinės literatūros analizė bei kiekybinis rezultatų vertinimas. Teorinėje ir praktinėje dalyse siekiama apibrėžti likvidumo riziką ir jos valdymo strategijas komerciniame banke, įvertinti likvidumo rizikos valdymą konkretaus banko pavyzdžiu. Atlikta „AS UniCredit Bank“ likvidumo rizikos analizė, vertinimas pagal nustatytus normatyvus bei testavimas nepalankiomis sąlygomis pagal tris galimus scenarijus. Mokslinės literatūros analizė bei kiekybinis rezultatų vertinimas iliustruotas lentelėmis ir paveikslais. Pasiūlytos likvidumo vertinimo ir valdymo metodų tobulinimo kryptys. Darbą sudaro 8 dalys. Darbo apimtis – 54 p. teksto be priedų, 3 iliustr., 15 lent., 38 bibliografiniai šaltiniai. Atskirai pridedami darbo priedai.
The business risk assessment and management is becoming important problem in a difficult economic situation. Instability requires constant attention to liquidity measurement and management. Due to Complexity of economic conditions, liquidity risk management process can not be isolated. Liquidity risk management topics of Lithuanian and foreign authors are analyzed and structured in Master’s work. The essential liquidity risk measurement and management methods and principles are summarized. An analysis of scientific literature and quantitative evaluation of the results is performed. The theoretical and practical parts define liquidity risk ant risk management strategies in a commercial bank, the liquidity risk management model for a particular bank is assessed. AS UniCredit Bank's liquidity risk analysis, assessment according to established standards and testing in adverse conditions, according to three scenarios was performed. The scientific literature analysis and quantitative evaluation of the results is illustrated by tables and pictures. Trends of The liquidity measurement and management of development are suggested. The work consists of 8 parts. Work size - 54 p. without appendixes, 3 pictures., 15 tables., 38 references. Appendixes included separately.

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23

Серпенінова, Юлія Сергіївна, Юлия Сергеевна Серпенинова, and Yuliia Serhiivna Serpeninova. "Фінансовий механізм управління ліквідністю банку." Thesis, Українська академія банківської справи Національного банку України, 2010. http://essuir.sumdu.edu.ua/handle/123456789/51567.

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Дисертаційна робота присвячена узагальненню теоретичних і методичних основ управління ліквідністю, розробці методичних підходів і практичних рекомендацій, направлених на розвиток фінансового механізму управління ліквідністю банку. Поглиблено теоретичні основи щодо управління ліквідністю банку, виокремлено найбільш вагомі зовнішні і внутрішні чинники, що впливають на ліквідність банку, обґрунтовано класифікаційні ознаки ризику ліквідності. У роботі визначено сутність та складові елементи ФМУЛБ. Обґрунтовано напрямки банківської політики щодо управління ліквідністю з використанням сценарного підходу. Досліджено розвиток державного регулювання ліквідності банків Національним банком та запропоновано підхід щодо удосконалення нормативного методу державного регулювання ліквідності банків. Сформовано концептуальні основи системи контролю і моніторингу ліквідності банку, запропоновано удосконалення оцінки ліквідної позиції банку з урахуванням прогнозних значень показників. Розроблено комплексну оптимізаційну модель управління ліквідністю банку. The dissertation is devoted to generalization of theoretical and methodical bases of liquidity management, development of methodical approaches and the practical recommendations directed on development of the financial mechanism of bank liquidity management. Most relevant external and internal factors which influence for the bank li-quidity are allocated, classification of liquidity risk is specified. In work the essence and structure of the financial mechanism of bank liquidity management is proved. Directions of bank policy of liquidity management according to the script approach are determined. Development of state regulation of banks liquidity by National bank of Ukraine is investigated and improvement of a normative method of state regulation of liquidity is offered. Conceptual bases of the control and monitoring system of bank liquidity are formulated, improvement of an estimation of bank liquid position taking into account forecast values of parameters is offered. It is developed complex optimization model of bank liquidity management.

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24

Wuthisatian, Phuvadon. "Two Essays in Economics and Finance." ScholarWorks@UNO, 2018. https://scholarworks.uno.edu/td/2501.

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This dissertation contains two essays. The first essay investigates the measure of FX liquidity and determinants of the change in FX liquidity. Using 20 cross currency exchange rates over spanning period of 1999 to 2016, funding constraints and global risks are responsible for the main drivers of changing in FX liquidity. The magnitudes of both G7 and emerging volatility index are offsetting each other in all the regression models indicating that FX investors take diversification trading strategies to diversify their portfolios. The financial crisis provides an evidence that the more financial constraint issues contribute to the change in FX market illiquidity more than non-financial crisis period. Extending to liquidity predictability, I find, however, that the lag of market FX liquidity is responsible for the change in FX liquidity than any other explanatory variables My second essay investigates the momentum returns of U.S. equities by presenting comprehensive approaches. Traditionally, momentum portfolios are constructed by ranking based on excess returns. Using this sorting technique, I confirm that there is a presence of momentum returns in U.S. equities for all of the 48 industries. The results also indicate that the portfolios that are sorted by idiosyncratic volatility as well as by diversification strategy cannot achieve the highest returns as for sorting based on excess returns. Further, I examine the momentum portfolio predictability using the inverse conditional volatility proposed by Moreira and Muir (2017), and show that the momentum returns are affected by the size of liquidity and the risk factors rather than by the economic variables.

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25

Ngene, Geoffrey M. "Momentum, Nonlinear Price Discovery and Asymmetric Spillover: Sovereign Credit Risk and Equity Markets of Emerging Countries and." ScholarWorks@UNO, 2012. http://scholarworks.uno.edu/td/1469.

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In Chapter 1, I hypothesize that there is a differential response by agents to changes in sovereign credit or default risk in both quiet (low default risk) and turbulent markets (high default risk). These market conditions create two different states of the market (world) or regimes. Investors and policy makers respond differently in the two regimes but the response in the turbulent market condition is amplified as policy makers attempt to smoothen the fluctuations and uncertainty while investors rebalance their portfolios in an attempt to hedge against downside risk of wealth loss. In the two regimes, the short run and long run dynamic relationships between any two cointegrated assets may change. To capture this phenomenon, this study tests for nonlinearities that may characterize the regimes, how cointegration relationships, short term dynamic interaction and price discovery (speed of adjustment to new information between two assets) may change in alternative regimes. To this end, I employ threshold cointegration, threshold vector error correction model (TVECM) asymmetrical return spillover modeling for sovereign credit default swaps (CDS), bonds and equity markets of seventeen emerging markets from four geographical regions. I find that there is non-linear cointegration and momentum in long-run adjustment process in 43/51 spreads analyzed. All countries analyzed have at least 2/6 possible regime specific asymmetric price discovery process. The study also finds evidence in support of asset substitution hypothesis and news-based hypothesis of financial contagions in sovereign CDS, bond and equity markets. The findings have important implications for asset allocation and portfolio rebalancing decisions by investors, policy intervention in financial markets, risk management and regime specific short and/or long term dynamic interactions among assets held in a portfolio as well as nonlinear speed of adjustment to new information. In chapter 2, I hypothesize that financial intermediaries can be categorized into bank-based institutions (BBIs) and market-based institutions (MBIs). MBIs and BBIs are under different regulatory agencies. Traditionally, only BBIs, regulated by the Fed, are used as conduits of transmitting liquidity and monetary policy into real economy and financial markets yet MBIs also play important role in providing liquidity and stability in financial markets. I use two tools of monetary policy (Federal fund rate and monetary aggregate) under two monetary policy regimes to investigate the impact of monetary policy under each regime on the liquidity of MBIs and BBIs. I investigate whether MBIs be used as conduits of transmitting monetary policy and liquidity in the market and if they should, under what economic and financial conditions (Regimes) should they be used. Moreover, what monetary policy tool is more effective for MBIs relative to BBIs under different regimes? Using Threshold vector auto-regressions and regime specific impulse response functions, I find that liquidity of BBIs and MBIs respond differently to different monetary policy tools under different regimes. Moreover, monetary policies are uncertain and vary over time. The Fed cannot continue to ignore MBIs in formulating and implementing monetary policy. Moreover, monetary aggregate policy is more effective when used on MBIs during contractionary monetary policy intervention (economic downturn) while Federal fund rate is more effective when used on BBIs under expansionary monetary policy.

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26

Волошко, І. В. "Стратегічне фінансове управління у банку." Thesis, Українська академія банківської справи, 2003. http://essuir.sumdu.edu.ua/handle/123456789/51646.

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В дисертації наводяться наукові положення, розроблені в межах галузі стратегічного управління фінансовою діяльністю банку в умовах перехідної економіки. На основі результатів комплексного та системного аналізу існуючої практики вітчизняного та зарубіжного банківського менеджменту на стратегічному рівні визначено основні недоліки системи стратегічного фінансового управління у банку та окреслено основні напрямки їх усунення як на рівні окремого суб’єкта банківської сфери, так і на державному рівні. У роботі пропонується впровадження окремих інструментів підвищення ефективності механізму стратегічного управління фінансовими ресурсами банку. Найбільш суттєвими з них є: концептуальні підходи (матриці) оцінки конкурентоспроможності, графічний метод оцінки ризиковості стратегічного розвитку, модель збалансованих показників діяльності банку (BSC), аналіз розривів (gap-аналіз).
The scientific positions developed within the framework of sphere of strategic management in banking financial activity in transitive economy are resulted in dissertational research. The disadvantages of existing foreign and domestic banking management practice in financial activities were described using complex and system analysis. Suggestions to solve existing problems in banking strategic management on micro and macro level were proposed. There are proposals to introduce some instruments to improve efficiency of banking strategic financial management mechanism. The most important of them are: conceptual ways (matrixes) to evaluate competitiveness in banking sphere, graphical method of evaluation risks of strategic development, using Balanced Scorecard (BSC) model in banging sphere, using gap-analysis.

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Kučera, Miroslav. "Komparace bankovních a nebankovních úvěrových produktů pro malé a střední podniky na finančním trhu ČR." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2012. http://www.nusl.cz/ntk/nusl-223417.

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The diploma thesis solves the optimization of operating funding for Sanexport, s. r. o. This theory closely specifies individual credit products on the financial market in the Czech republic, which are provided by banking and nonbanking providers. On a practical level the diploma evaluates current situation of operating funding of the company with focusing on criterion of cost. It contains suggestions of solution optimization of operating funding based on the analysis of the representative products banking and nonbanking institutions.

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28

Cariolle, Joël. "Export instability, corruption and how the former influences the latter." Thesis, Clermont-Ferrand 1, 2013. http://www.theses.fr/2013CLF10419.

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Cette thèse a pour objectif d’approfondir l’analyse des conditions d’émergence et d’incidence de la corruption dans le monde. Nous y soulignons une dimension importante mais jusque-La peu documentée des activités de corruption, à savoir, leur contribution aux stratégies informelles d’adaptation et de gestion du risque mises en place par les agents économiques pour se protéger contre l’instabilité de leur revenu. Le premier chapitre propose un état des lieux de la recherche sur les définitions, les mesures, les typologies et les déterminants de la corruption. Dans le deuxième chapitre, les méthodes usuelles de calcul de l’instabilité macroéconomique sont expliquées, sont appliquées aux données sur les recettes d'exportation d’un échantillon de pays développes et en développement, et sont comparées entre elles. Le troisième chapitre présente et analyse une base de données rétrospectives sur l’Indice de Vulnérabilité Économique, reflétant le risque pour un pays de voir son développement entravé par des chocs naturels et des chocs d’exportations, que nous avons calculé pour un échantillon de 128 pays en développement et couvrant la période 1975- 2008. Dans le quatrième chapitre, nous analysons les effets de l’instabilité des exportations sur la corruption dans les pays développés et en développement. Ces effets sont décomposés en un effet ex post, résultant de l’expérience des agents économiques de l’instabilité des exportations, et un effet ex ante, résultant de leur perception de cette dernière. Nous testons empiriquement ces effets sur les perceptions de la corruption et sur les pots-De-Vin payés par les entreprises. Nous mettons en évidence des effets robustes, significatifs et non linéaires, dont le signe dépend de la fréquence et de la taille des chocs d’exportations. Nos résultats suggèrent également que la contrainte de liquidité est un canal transmission clé de ces effets: lorsque la contrainte de liquidité est forte l’instabilité des exportations aggrave l’incidence à la corruption, alors qu’elle la réduit lorsque cette contrainte se relâche. Ainsi, en l’absence d’État et de marches financiers capables d’atténuer les effets de l’instabilité sur les performances économiques et le bien-Être, il est probable que les agents économiques aient recours à la corruption pour se protéger contre les fluctuations économiques
This thesis is an attempt to improve the understanding of the causes of corruption emergence and incidence around the world. It highlights an undocumented feature of corrupt transactions, that is, their contribution to informal risk-Coping and risk-Management mechanisms used by economic agents to protect against income fluctuations. We propose in a first introductory chapter a general state of art of researches on corruption definitions, measurements, typologies and determinants. In chapter two, we explain, apply and compare standard methods of computing instability indicators, using export revenue data from sample of developed and developing countries. In chapter three, we build a retrospective Economic Vulnerability Index – i.e. an index reflecting the risk for a country of seeing its development hampered by natural and trade shocks – for a sample of 128 developing countries over 1975-2008. In chapter 4, we analyse the effect of export instability on corruption in developed and developing countries. This effect is decomposed into an ex post effect, resulting from agents’ experience of export instability, and an ex ante effect, resulting from their perception of export instability. We test empirically these effects using data on corruption perceptions and on firms’ bribe payments. We find robust, significant and nonlinear ex post and ex ante effects of instability on corruption, and stress that their direction strongly depends on the frequency and size of export fluctuations. We show that the liquidity constraint is a key channel for these effects: when the liquidity constraint hardens, instability is found to foster corruption; while when it softens, instability is found to reduce it. Thus, corrupt strategies may act as a substitute for financial market imperfections and a low state capacity for mitigating the consequences of economic fluctuations on welfare

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29

Гладілка, Д. Г. "Управління ризиком ліквідності банку." Thesis, Одеський національний економічний університет, 2020. http://dspace.oneu.edu.ua/jspui/handle/123456789/12342.

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У роботі розглянуто сутність та проблеми управління ризиком ліквідності в банках, а також особливості регулювання банківської ліквідності. Представлено авторське розуміння ризику ліквідності, наголошено на однаковому негативному впливі нестачі та надлишку ліквідності. Проведено стрес-тестування ризику ліквідності. Зроблено аналіз впливу факторів. Проаналізовано ризик ліквідності та основні показники ліквідності банку. Під час проведення дослідження використовувалися методи: аналізу;yзaгaльнення;системaтизaцiя;пoрiвняння;коефіцієнтний аналіз;кореляційно-регресійний метод; сценарний аналіз; матричний.
The work considers the essence and problems of liquidity risk management in banks, as well as the features of bank liquidity regulation. The author's understanding of liquidity risk is presented, the equal negative impact of lack and excess of liquidity is emphasized. Liquidity risk stress testing was performed. The analysis of influence of factors is made. Liquidity risk and the main liquidity indicators of the bank are analyzed. During the study, the following methods were used: analysis, generalization, systematization, comparison, coefficient analysis, correlation-regression method; scenario analysis; matrix.

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30

Huang, Qiping. "ESSAYS ON HEDGE FUND TRADING AND PERFORMANCE." UKnowledge, 2018. https://uknowledge.uky.edu/finance_etds/8.

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In the first essay, I create a hedge fund informed trading measure (ITM) that separates information related trades from liquidity driven trades. The results indicate that ITM predicts future stock returns at the trade level, thus is associated with information. By aggregating the most informed trades at the stock level, I find that stocks heavily purchased by informed hedge funds earn a significant alpha. The results indicate that the ITM performs better than some previously documented measures and is robust to two different versions of the measure. The second essay exploits the expiring nature of hedge fund lockups to create a new, within-fund proxy of funding liquidity risk. When funds have lower funding liquidity risk, risk-adjusted performance improves and exposure to tail risk increases. We use fund fixed-effect, a placebo approach, and a regression discontinuity design to establish a link between funding liquidity risk and the ability of funds to capitalize on risky mispricing. The third essay explores hedge fund managers ability to identify and trade on stock mispricing opportunity. We refer to the amount of capital that are is locked up and refrained from redemption as the stable capital, and study how it affects stock mispricing. We find that when funds have more lockup capital, they are more likely to take mispricing risks. Taking all funds together, more stable capital in the industry is driving the reduction or even correction of market-wide stock mispricing. Underpriced stocks benefit more than overpriced stock from hedge funds stable capital.

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Ginterienė, Elena. "Iždo rizikų strateginio valdymo poveikio įvertinimas akcinės bendrovės „Mažeikių nafta“ finansinių išteklių formavimui." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2007. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2007~D_20070816_162139-32598.

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Dauguma šiuolaikinių finansų valdymo ir investicijų mokslinių darbų akcentuoja finansinės rizikos valdymo svarbą finansinių institucijų veiklai. Augančioje finansų rinkoje aktyviais dalyviais tampa įmonės, kurių ilgalaikei sėkmei įtakos turi finansinių lėšų valdymas. Magistro darbe išanalizuoti ir susisteminti įvairių Lietuvos ir užsienio autorių teoriniai ir praktiniai iždo rizikų valdymo aspektai, sukeliantys riziką veiksniai, rizikos rūšys, iždo rizikų įvertinimo ir valdymo metodai. Parodyta, kad pagrindinis rizikos valdymo tikslas nebūtinai yra jos išvengti, o suprasti kritinius rizikos veiksnius ir profesionaliai juos valdyti. Atlikus analizę AB „Mažeikių nafta“ nustatytos šios iždo rizikos: rinkos (valiutų kurso, palūkanų normos, biržinių prekių kainos kitimo), likvidumo, kredito, operacinė. Panaudojus rizikos vertės VaR@95% metodo skaičiavimus, įvertintas iždo rizikų poveikis bendrovės finansinių išteklių formavimui. Patvirtinta autorės suformuluota mokslinio tyrimo hipotezė, kad iždo rizikų strateginis valdymas įmonėje stabilizuoja įmonės pinigų srautus, sumažina įmonės nuostolius dėl finansų rinkos neigiamų pokyčių, pagerina pelningumo prognozavimą.
Most of today’s finance management and investment scientific papers emphasize the importance of finance risk management for the financial institution activities. The companies the long-term success of which comes from the funds management become the active participants in the growing financial market. The Master’s Thesis analyses and systemizes the theoretical and practical aspects of treasury risk management, factors causing risk, types of risks, methods of treasury risk evaluation and management as described by various Lithuanian and foreign authors. It identifies that the main goal of risk management is not necessarily to prevent the risk but to understand the critical risk factors and manage them in professional way. After the analysis has been made the following treasury risks were identified for AB Mažeikių Nafta: market (currency rate exchange, interest rate, commodity price fluctuation), liquidity, credit, operations. Using risk value VaR@95% method calculations the treasury risk impact to the formation of the company financial resources was evaluated. The scientific research hypothesis of the author stating that treasury risk strategy management in the Company stabilizes the Company’s cash flows, reduces loses resulted from negative changes in the finance market, improves the profitability forecasting was proved to be correct.

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Алексанян, М. Ф. "Управління ризиком ліквідності у міжнародних банках в умовах регулювання Базелю ІІІ." Master's thesis, Українська академія банківської справи Національного банку України, 2014. http://essuir.sumdu.edu.ua/handle/123456789/52743.

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Дипломна робота присвячена дослідженню теоретичних та практичних засад управління ризиком ліквідності у міжнародних банках в умовах регулювання Базелю ІІІ. Проведено аналіз підходів до управління ризиком ліквідності у міжнародних банках та виявлено слабкі місця в організації ризик-менеджменту банків. Визначено основні напрями удосконалення механізму управління ризиком ліквідності у міжнародних банках із врахуванням положень Базелю ІІІ. The master’s thesis focuses on studying theoretical and practical foundations of liquidity risk management in international banks in the context of Basel III regulation. The liquidity risk management framework in international banks is analyzed and the weaknesses of risk management organization of banks are defined. The main directions of improving liquidity risk management framework in international banks with regard to Basel III guidelines are defined.

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Assoil, Ayad. "La mesure et la gestion du risque de liquidité sur le marché boursier du CAC 40." Thesis, Montpellier, 2020. http://www.theses.fr/2020MONTD013.

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La liquidité est une caractéristique primordiale pour le bon fonctionnement des marchés financiers. Elle est importante à la fois pour les investisseurs, le régulateur, les intermédiaires financiers et les sociétés cotées. Cependant, malgré son importance et la placequ’elle occupe dans la littérature traitant de la microstructure des marchés financiers, elledemeure encore une notion difficile à cerner car elle peut désigner à la fois la liquidité d’unmarché, d’un actif, d’un fonds ou d’un portefeuille, voire même la liquidité fournie parune banque centrale. L’absence de consensus sur la définition rend compliqué sa quantification.La présente thèse a pour objet l’analyse du risque de liquidité sur les actions de l’indicede marché CAC 40. Cette thèse s’articule autour de trois axes : le premier axe vise àtraiter de la microstructure des marchés financier pour comprendre les déterminants durisque de liquidité. Un attention particulière est portée sur le rôle de la liquidité dans lescrises systémiques et sur l’influence des nouvelles transformations dans la structure desmarché (libéralisation des marchés, trading à hautes fréquences, les dark pools...) sur lerisque de liquidité. Le second axe se concentre sur la quantification du risque de liquiditésur le marché du CAC 40. Cela est réalisé notamment à l’aide des modèles GARCH etARFIMA, ainsi que les modèles VAR (Vector autoregression). Le troisième axe concernela gestion du risque de liquidité par l’application des modèles LCAPM, le modèle de gestion de portefeuille avec contrainte de liquidité et le modèle Liquidity Value-at-Risk
Liquidity is a key attribute for efficient functioning of financial markets. Liquidity is important for investors, the regulator, financial intermediaries and listed companies. However, despite its importance as well as its prominence in the microstructure of financial markets literature, it is still an elusive concept as it may refer to the liquidity of a market, an asset, a fund or a portfolio, or even to the liquidity that a central bank provides. The lack of consensus on the definition of liquidity makes it difficult to quantify it. The aim of this thesis is to investigate the liquidity risk on the CAC 40 market index. This thesis is structured around three main lines : first, the microstructure of financial markets is addressed in order to fully understand the sources and the drivers of liquidityrisk. Particular attention is paid to the role of liquidity in systemic crises and to the impact of new changes in market structure (market deregulation, high-frequency trading,dark pools, etc.) on liquidity risk. Second, we focus on the quantitative measurement of liquidity risk on the CAC 40 market. This is achieved by using the GARCH and ARFIMA models, as well as the VAR (Vector autoregression) models. Third, we address the liquidity risk management through the application of the LCAPM model, the liquidity constrained portfolio model and the Liquidity Value-at-Risk model

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Valido, Vasco Neves da Silva Simões. "Gestão de activos e passivos (ALM) no BES." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10308.

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Mestrado em Finanças
As instituições financeiras deparam-se com o problema de correctamente alocar e gerir os recursos que dispõem em aplicações que maximizem a sua rendibilidade. Fazê-lo tendo em conta os riscos inerentes a essa premissa é uma das missões primordiais da área de gestão de activos e passivos de uma instituição ou Asset-Liability Management (ALM). Os riscos evocados anteriormente são genericamente o risco de liquidez, de taxa de juro, de crédito e mercado, sendo os dois primeiros os mais relevantes para a área anteriormente definida tendo em conta o impacto que estes podem ter tanto na margem financeira como na própria solvabilidade da instituição. Em suma, visto que a minha formação se centrou na área financeira, mais propriamente nas instituições financeiras, e tendo em conta a conjuntura actual que o sistema financeiro está a ser alvo, decidi ingressar num estágio numa área de ALM por forma a apreender como se efectua esta gestão e monitorização de risco numa instituição bancária portuguesa.
Financial institutions face many issues when they need to allocate their assets and resources properly to maximize their profit. Doing this regarding the associated risks is one of the main purposes of the ALM Desk. The risks highlighted before are mainly Liquidity risk, Interest Rate risk, Market risk and Credit risk, the former being the most important to the ALM monitoring process. This happens since the first two are, considering the ALM point-of-view, the risks that can more easily cause changes on the financial margin and the institutions solvability. In short, since my academic background lies on Financial Institutions management I?ve decide to do an internship in this same area in order to learn and understand this process of risk management and monitoring in a Portuguese financial institution.

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Simaitienė, Vilma. "Tarptautinių atsiskaitymų rizikos valdymas." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2005. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2005~D_20050519_125207-92556.

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Research object – Risk of international settlements. The aim of this work is to analyze the process of the management of international settlements risk and foresee the opportunities of risk management in Lithuania. The set tasks for achieving the aim of this research: to introduce the understanding of international settlements risk; to set the kinds of international settlements risk; to set the process of the management of international settlements risk; to set the international settlements risk management means; to set the usage opportunities of these means in Lithuania. There are four kinds of international settlements risk described in this work: political, liquidity, currency rate range and economical risk. There are introduced means of risk management for every kind of risk in this work. There you can also find opportunities of usage of international settlements risk management in Lithuania. Research methods: analysis and synthesis of literature, logical analysis and synthesis, statistics analysis.

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Rodríguez-Manrique, Alan-Richard. "Prueba de estrés de riesgo de crédito, mercado y liquidez en la banca múltiple del Perú." Bachelor's thesis, Universidad de Lima, 2016. http://repositorio.ulima.edu.pe/handle/123456789/1165.

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El presente trabajo apunta a cuantificar los impactos en los indicadores de riesgo producidos en un escenario de estrés. El primer capítulo se enfoca en la explicación de los conceptos pertinentes, en las normas de regulación de Basilea y en la definición de la Prueba de Estrés. El segundo capítulo se centra en la descripción de los agentes económicos y en el análisis de las variables económicas y financieras a utilizar en la contrastación de la hipótesis. El tercer capítulo se divide en tres Pruebas de estrés ligadas a un tipo de riesgo en específico: riesgo de crédito, riego de mercado y riesgo de liquidez. En cada Prueba de estrés se introduce y aplica un modelo y luego se simulan los distintos escenarios (variaciones en variables) para cuantificar los impactos producidos en los indicadores de riesgo. Finalmente están las conclusiones y recomendaciones ligadas a los resultados del estudio. El trabajo se limita a analizar el conjunto agregado de los 5 principales bancos de operaciones múltiple en el Perú en un umbral de tiempo del año 2001 al año 2014.
Trabajo de investigación

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Dalne, Katja. "The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-206168.

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The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). It proposes to use Expected Shortfall (ES) as risk measure instead of the currently used Value at Risk (VaR), as well as applying varying liquidity horizons based on the various risk levels of the assets involved. A major difficulty of implementing the FRTB lies within the backtesting of ES. Righi and Ceretta proposes a robust ES backtest based on Monte Carlo simulation. It is flexible since it does not assume any probability distribution and can be performed without waiting for an entire backtesting period. Implementing some commonly used VaR backtests as well as the ES backtest by Righi and Ceretta, yield a perception of which risk models that are the most accurate from both a VaR and an ES backtesting perspective. It can be concluded that a model that is satisfactory from a VaR backtesting perspective does not necessarily remain so from an ES backtesting perspective and vice versa. Overall, the models that are satisfactory from a VaR backtesting perspective turn out to be probably too conservative from an ES backtesting perspective. Considering the confidence levels proposed by the FRTB, from a VaR backtesting perspective, a risk measure model with a normal copula and a hybrid distribution with the generalized Pareto distribution in the tails and the empirical distribution in the center along with GARCH filtration is the most accurate one, as from an ES backtesting perspective a risk measure model with univariate Student’s t distribution with ⱱ ≈ 7 together with GARCH filtration is the most accurate one for implementation. Thus, when implementing the FRTB, the bank will need to compromise between obtaining a good VaR model, potentially resulting in conservative ES estimates, and obtaining a less satisfactory VaR model, possibly resulting in more accurate ES estimates. The thesis was performed at SAS Institute, an American IT company that develops software for risk management among others. Targeted customers are banks and other financial institutions. Investigating the FRTB acts a potential advantage for the company when approaching customers that are to implement the regulation framework in a near future.
Den globala finanskrisen som inleddes år 2007 ledde till flertalet ändringar vad gäller riskreglering för banker. En omfattande förändring som beräknas implementeras år 2019, utgörs av Fundamental Review of the Trading Book (FRTB). Denna föreslår bland annat användande av Expected Shortfall (ES) som riskmått istället för Value at Risk (VaR) som används idag, liksom tillämpandet av varierande likviditetshorisonter beroende på risknivåerna för tillgångarna i fråga. Den huvudsakliga svårigheten med att implementera FRTB ligger i backtestingen av ES. Righi och Ceretta föreslår ett robust ES backtest som baserar sig på Monte Carlo-simulering. Det är flexibelt i den mening att det inte antar någon specifik sannolikhetsfördelning samt att det går att implementera utan att man behöver vänta en hel backtestingperiod. Vid implementation av olika standardbacktest för VaR, liksom backtestet för ES av Righi och Ceretta, fås en uppfattning av vilka riskmåttsmodeller som ger de mest korrekta resultaten från både ett VaR- och ES-backtestingperspektiv. Sammanfattningsvis kan man konstatera att en modell som är acceptabel från ett VaR-backtestingperspektiv inte nödvändigtvis är det från ett ES-backtestingperspektiv och vice versa. I det hela taget har det visat sig att de modeller som är acceptabla ur ett VaR-backtestingperspektiv troligtvis är för konservativa från ett ESbacktestingperspektiv. Om man betraktar de konfidensnivåer som föreslagits i FRTB, kan man ur ett VaR-backtestingperspektiv konstatera att en riskmåttsmodell med normal-copula och en hybridfördelning med generaliserad Pareto-fördelning i svansarna och empirisk fördelning i centrum tillsammans med GARCH-filtrering är den bäst lämpade, medan det från ett ES-backtestingperspektiv är att föredra en riskmåttsmodell med univariat Student t-fördelning med ⱱ ≈ 7 tillsammans med GARCH-filtrering. Detta innebär att när banker ska implementera FRTB kommer de behöva kompromissa mellan att uppnå en bra VaR-modell som potentiellt resulterar i för konservativa ES-estimat och en modell som är mindre bra ur ett VaRperspektiv men som resulterar i rimligare ES-estimat. Examensarbetet genomfördes vid SAS Institute, ett amerikanskt IT-företag som bland annat utvecklar mjukvara för riskhantering. Tänkbara kunder är banker och andra finansinstitut. Denna studie av FRTB innebär en potentiell fördel för företaget vid kontakt med kunder som planerar implementera regelverket inom en snar framtid.
Riskhantering, finansiella tidsserier, Value at Risk, Expected Shortfall, Monte Carlo-simulering, GARCH-modellering, Copulas, hybrida distributioner, generaliserad Pareto-fördelning, extremvärdesteori, Backtesting, likviditetshorisonter, Basels regelverk

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Dudek, Jérémy. "Illiquidité, contagion et risque systémique." Phd thesis, Université Paris Dauphine - Paris IX, 2013. http://tel.archives-ouvertes.fr/tel-00984984.

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Cette thèse est articulée autour de trois risques financiers que sont : la liquidité, la contagion et le risque systémique. Ces derniers sont au centre de toutes les attentions depuis la crise de 2007-08 et resteront d'actualité à la vue des évènements que rencontrent les marchés financiers. Le premier chapitre de cette thèse présente un facteur de liquidité de financement obtenu par l'interprétation d'un phénomène de contagion en termes de risque de liquidité de marché. Nous proposons dans le second chapitre, une méta-mesure de cette liquidité de marché. Cette dernière tient compte de l'ensemble des dimensions présentes dans la définition de la liquidité en s'intéressant à la dynamique de plusieurs mesures de liquidité simultanément. L'objectif du troisième chapitre est de présenter une modélisation des rendements du marché permettant la prise en compte de la liquidité de financement dans l'estimation de la DCoVaR. Ainsi, ce travail propose une nouvelle mesure du risque systémique ayant un comportement contracyclique. Pour finir, nous nous intéressons à l'hypothèse de non-linéarité de la structure de dépendance entre les rendements de marché et ceux des institutions financières. Au cœur de la mesure du risque systémique, cette hypothèse apparait contraignante puisqu'elle n'a que peu d'impact sur l'identification des firmes les plus risquées mais peut compliquer considérablement l'estimation de ces mesures.

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Селезньова, Ю. І. "Управління фінансовими результатами діяльності комерційного банку." Thesis, Одеський національний економічний університет, 2021. http://local.lib/diploma/Seleznyova.pdf.

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Доступ до роботи тільки на території бібліотеки ОНЕУ, для переходу натисніть на посилання нижче
У роботі розглядаються теоретичні аспекти управління фінансовими результатами діяльності банку України. Проаналізовано стан управління активами, пасивами та фінансовими результатами ПАТ «БАНК ВОСТОК». Запропоновано підходи до планування фінансових результатів діяльності комерційного банку на прикладі ПАТ «БАНК ВОСТОК».
The paper considers the theoretical aspects of managing the financial results of the Bank of Ukraine. The state of management of assets, liabilities and financial results of PJSC "BANK VOSTOK" is analyzed. Approaches to planning the financial results of a commercial bank on the example of PJSC "BANK VOSTOK" are proposed.

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Cunha, Marina Martins Brito da. "Os Acordos de Basileia I, II, III e o mercado bancário brasileiro: um estudo sobre os principais desafios da gestão de liquidez nesse novo cenário." Pontifícia Universidade Católica de São Paulo, 2014. https://tede2.pucsp.br/handle/handle/1583.

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During the banking history, there were movements of changes and adaptation to new realities, such as the internationalization and the increasing globalization of the financial markets. In this process economic instabilities of national monetary systems were recorded which raised questions about the necessity of strengthening the international monetary system and the stability of financial institutions of the countries. Amid the market turbulence , the Bank For International Settlements (BIS), has created the Basel Committee of Banking Supervision Basel that promulgated the Basel Accord entering the principles of banking supervision and a system for measuring and standardizing minimum capital requirements, in an attempt to manage the risks. This paper aims to analyze the effects of the implementation of Basel Accords on the structure and operation of the Brazilian financial system. The analysis method adopted is based on the historical and documentary evaluation of the Basel Accords I, II and III in the the Brazilian financial system, analyzing the principles of banking supervision and regulation implemented by the Brazilian Central Bank and financial institutions, such as the regulation of minimum capital and net worth, through Resolution No. 2099 and its main changes. The paper also provides an analysis of the new capital agreement with its main characteristics. Its implementation occurred through the Statement N. 12.746 of 2004, when the Brazilian Central Bank set a timetable to be followed by financial institutions for the implementation of several improvements in risk management controls and also the role of supervision and information disclosure to the financial market.Through the Statement N. 20.615 of 2011, a new step was taken to improve the inclusion of Basel III, one of the points presented was the improvement in the liquidity risk management. The paper concluded that despite of many improvements have been still discussed and have been under implementation in the Brazil and in the international markets, these innovations initiated by the Basel Accord marked the history of management and supervision of risk management in the financial market
Ao longo da história bancária, foram detectados movimentos de mudanças e adaptações às novas realidades, como a internacionalização dos bancos e a crescente globalização dos mercados financeiros. Nesse processo, foram registradas instabilidades econômicas dos sistemas monetários nacionais e internacionais, que levantaram questões sobre a necessidade do fortalecimento do sistema monetário internacional e a estabilidade das instituições financeiras dos países. Em meio a turbulências nos mercados, o Bank for International Settlements (BIS) criou o Comitê de Supervisão Bancária da Basileia (Basle Committee on Banking Supervision), que divulgou o Acordo da Basileia inserindo princípios de supervisão bancária e um sistema para mensuração e padronização dos requerimentos mínimos de capital na tentativa de gerenciar os riscos. O estudo, que se desenvolve nesse contexto, pretende analisar o funcionamento do sistema financeiro brasileiro os efeitos da implantação do Acordo da Basileia sobre esta estrutura. O método de pesquisa adotado é baseado na avaliação histórica e analise documental dos Acordos da Basileia I, II e III, sobre o sistema financeiro nacional, por meio do qual se analisarão os princípios de supervisão e a regulação bancária implementada pelo Banco Central do Brasil, como a regulamentação dos limites mínimos de capital e patrimônio líquido, consoante a Resolução n. 2.099 e suas principais alterações. O trabalho também faz uma análise do novo acordo de capital, com as suas principais características. Sua implantação ocorreu com a edição do Comunicado n. 12.746 de 2004, em que o Banco Central do Brasil estabeleceu um cronograma a ser seguido pelas instituições financeiras brasileiras para a implantação de diversas melhorias nos controles de gestão de risco e também no papel da supervisão e divulgação de informações ao mercado financeiro. Por meio do Comunicado n. 20.615 de 2011, houve um aprimoramento, com a inclusão do Basileia III, e um dos pontos tratados é a melhoria no gerenciamento de risco de liquidez. Do esforço de pesquisa, conclui-se que muitas melhorias ainda são discutidas e estão em processo de implantação nos mercados brasileiro e internacional, contudo estas inovações iniciadas pelo acordo de Basileia marcam a história da gestão e da supervisão do gerenciamento de riscos no mercado financeiro

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Alcântara, Wenersamy Ramos de. "Uma abordagem integrada para a gestão da liquidez e alocação de recursos no curto prazo em bancos comerciais." reponame:Repositório Institucional do FGV, 2007. http://hdl.handle.net/10438/2545.

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This work develops an integrated model for optimal asset allocation in commercial banks that incorporates uncertain liquidity constraints that are currently ignored by RAROC and EVA models. While the economic profit accounts for the opportunity cost of risky assets, what may even incorporate a liquidity discount, it neglects the risk of failure due to the lack of sufficient funds to cope with unexpected cash demands arising from bank runs, drawdowns, or market, credit and operational losses, what may happen along with credit rationing episodes or systemic level dry ups. Given a liquidity constraint that can incorporate those factors, there is a probability Pf that there will be a fail and the liquidity constraint will not hold, resulting in a value loss for the bank, represented by a stochastic failure loss Lf. The total economic profit, given the possibility of loss due to the lack of liquidity, is then optimized, resulting in a short-term asset allocation scheme that integrates market, credit and operational risks in the liquidity management of banks. Even though a general approach is suggested through simulation, it is provided a closed form solution, under some simplifying assumptions, that is thoroughly discussed. An analysis of stylized facts about liquidity in Brazil suggests that the current decreasing trend in interest rates have some influence in the reduction of liquid assets as a proportion of deposits, increasing the relevance of liquidity management models such as the one proposed in this work. The model was then applied to Brazilian banks data resulting in an estimated 8.5% yearly gain over the optimization without liquidity considerations. Even though it is not possible to establish the significance of this result due to the approximations used, its sensibility to changes in the parameters is not high. After increasing and decreasing all parameters by 20%, the gain change ranged from 6.3% to 8.8%. Gains may reach 11.1% if the amount of liquid resources available for allocation is multiplied by four, and even if the loss given failure is reduced by 8.6 times there still are gains of about 0.5% a year in the return on equity, giving empirical indications that the model may have a relevant impact over the value creation in banks.
Neste trabalho é desenvolvido um modelo integrado para alocação ótima de ativos em bancos comerciais que incorpora restrições incertas de liquidez, atualmente ignoradas por modelos de RAROC e EVA. Se por um lado o lucro econômico considera o custo de oportunidade de ativos com risco, o que pode inclusive incorporar um prêmio de liquidez, por outro é negligenciado o risco de falha devido à falta de fundos suficientes para enfrentar demandas inesperadas de caixa, oriundas de corridas, saques excepcionais de linhas de crédito, ou perdas de crédito, de mercado, ou operacionais, o que pode ocorrer conjuntamente com episódios de racionamento de crédito interbancário ou crises sistêmicas de liquidez. Dada uma restrição de liquidez que pode incorporar tais fatores, há uma probabilidade Pf de que haja uma falha e a restrição de liquidez não seja obedecida, resultando em perda de valor para o banco, representada pela perda estocástica por falha Lf. O lucro econômico total, dada a possibilidade de perda devido à falta de liquidez, é então dinamicamente otimizado, resultando em um esquema de alocação de curto prazo capaz de integrar riscos de mercado, de crédito e operacionais na gestão de liquidez em bancos comerciais. Embora uma abordagem geral via simulação seja sugerida, também é apresentada uma solução fechada, válida sob certos pressupostos simplificadores, cuja otimização é discutida detalhadamente. Uma análise de fatos estilizados é apresentada a seguir, havendo indícios de que a tendência corrente de redução das taxas de juros no Brasil tem influenciado a queda no nível de ativos líquidos como proporção dos depósitos, aumentando a relevância dos modelos de gestão de liquidez, como o aqui proposto. Também foi feita uma implementação do modelo com dados de bancos brasileiros da qual estimou-se um ganho de cerca de 8,5% ao ano no retorno sobre o patrimônio líquido em relação à otimização que não leva em conta as perdas por falta de liquidez. Embora não seja possível estabelecer a significância do resultado em virtude das aproximações utilizadas, observou-se que a sensibilidade deste ganho não é alta em relação a variações nos parâmetros, que modificados de 20%, para mais e para menos, produziram ganhos entre 6,3% e 8,8% ao ano. Os ganhos chegam a 11,1% se o volume de recursos líquidos disponíveis para alocação for aumentado em quatro vezes e mesmo se a perda dada uma falha for reduzida de 8,6 vezes ainda há ganhos anuais de cerca de 0,5% no retorno sobre o patrimônio líquido, dando indícios empíricos de que o modelo possa ter impacto relevante na criação de valor em bancos.

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Qi, Hao Howard. "Personal taxes, default, liquidity and risky bond yield spread." Related electronic resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2005. http://wwwlib.umi.com/cr/syr/main.

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Скорик, М. Л. "Напрямки підвищення фінансової стійкості та прибутковості комерційних банків." Thesis, Одеський нац. політехнічний ун-т, 2003. http://essuir.sumdu.edu.ua/handle/123456789/51538.

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Формування в Україні засад ринкової економіки створює основу для конкуренції між її учасниками, зокрема і в банківській сфері. Продовжується: диреренціація комерційних банків за обсягом статутного капіталу, дохідністю та прибутковістю активів й капіталу, платоспроможністю і ліквідністю. Різке погіршення фінансового стану деяких комерційних банків зумовило їх банкрутства, застосування заходів фінансового оздоровлення з боку Національного банку України. В цих умовах принципового значення набуває проблема зміцнення фінансової стійкості банків. Її вирішення пов'язане, зокрема, з розробкою методів оцінки і аналізу фінансової стійкості банку та розробкою шляхів забезпечення цієї стійкості.

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Brabcová, Lucie. "Řízení likvidity a solventnosti (na příkladu konkrétního podniku)." Master's thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-206359.

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The thesis deals with the individual aspects of liquidity and solvency management in the context of financial risk management and working capital components. The main accent is put on the foreign exchange risk management and the cash management tools on the group level: netting and cash pooling. These tools are supported by the cash forecasting system and the actual cash flows evaluation. The methods of liquidity and solvency management are demonstrated on the example of a Shared Service Center organisation.

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Polishchuk, Snizhana. "Minimization of risks in the process of implementing the resource policy of commercial banks." Thesis, National Aviation University, 2021. https://er.nau.edu.ua/handle/NAU/54677.

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1. Lobanova AL Resource policy of commercial banks of Ukraine / AL Lobanova // Finance of Ukraine. - 2005. - № 1. - P. 88–95. 2. Martyniuk J. Resource base of commercial banks / J. Martyniuk // Finance of Ukraine. - 1998. - № 11. - P. 112–114. 3. Marcin VS Problems and ways to increase the capitalization of banking institutions in the management of bank capital / VS Marcin // Finance of Ukraine. – 2007 - № 2. - P. 77–88 4. Maslak NG Problems of capitalization of the banking system of Ukraine / NG Maslak // Actual problems of economy. - 2004. - № 11. - P. 31–39.
The paper examines management systems that would allow a banking institution to forecast. Analyze and minimize their individual varieties and achieve a reduction in the impact of aggregate risk on their activities.

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Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.

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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models ... This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.

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Ісайко, К. Ю. "Кредитно-інвестиційний потенціал банківської системи України та його використання." Thesis, Одеський національний економічний університет, 2020. http://dspace.oneu.edu.ua/jspui/handle/123456789/12591.

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У роботі розглянуто теоретичні засади інвестування, сутність, зміст та форми банківських інвестицій та інституційні основи інвестиційно-банківської діяльності, її складу та формування системи управління. Здійснено класифікацію методів управління інвестиційним портфелем банку. Охарактеризовано сучасний стан та особливості розвитку українських банків і на цій основі визначено шляхи формування інвестиційної банківської діяльності з обґрунтуванням місця і ролі комерційних банків; Надано загальну характеристику діяльності банку АТ КБ «Приватбанк». Проаналізовано фінансовий стан банку АТ КБ «Приватбанк». Здійснено оцінку управління інвестиційним портфелем банку АТ КБ «Приватбанк». Надано модель оптимізації кредитного портфеля за умов ризику щодо платоспроможності позичальників. Виявлено, що на ефективне інвестування капіталу банку впливає безліч факторів, від впливу яких залежить фінансовий стан банку. Запропоновані напрямки вдосконалення ризик менеджменту та підвищення ефективності інвестування.
The work considers the theoretical principles of investment, the essence, content and forms of banking investments and the institutional foundations of investment banking. It`s composition and the formation of the management system. The classification of bank investment portfolio management methods is carried out. The current state and peculiarities of the development of Ukrainian banks are characterized. On this basis the ways of formation of investment banking activity with the substantiation of the place and role of commercial banks are determined; The general characteristic of activity of bank of JSC CB "Privatbank" is given. The financial condition of the bank JSC CB "Privatbank" is analyzed. The investment portfolio management of the bank JSC CB "Privatbank" was assessed. The model of loan portfolio optimization under conditions of risk in terms of solvency of borrowers is given; It was found that the effective investment of the bank's capital is influenced by many factors, the influence of which determines the financial condition of the bank. The directions of improvement of risk management and increase of efficiency of investment are offered.

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Tankov, Peter. "Contributions à l'étude de discrétisation des processus avec sauts, du risque de liquidité, et du risque de saut dans les marchés financiers." Habilitation à diriger des recherches, Université Paris-Diderot - Paris VII, 2010. http://tel.archives-ouvertes.fr/tel-00712732.

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Ce document synthétise mes contributions à l'étude de discrétisation des processus avec sauts, et à la modélisation du risque de liquidité et du risque de saut dans les marchés financiers. Chapitre 2 regroupe les résultats plus théoriques dans le domaine de discrétisation des processus stochastiques avec sauts, avec notamment une étude de l'erreur de discrétisation des stratégies de couverture, et des nouveaux schémas de simulation des équations différentielles stochastiques dirigées par des processus de Lévy. Chapitre 3 présente et étudie via le contrôle stochastique un problème d'optimisation d'investissement et de consommation dans les marchés financiers illiquides. Chapitre 4 contient des travaux plus appliqués sur la modélisation du risque de saut dans les stratégies d'assurance de portefeuille, les produits dérivés, et les marchés d'électricité.

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Сергєєва, О. С., Е. С. Сергеева, and O. Sergeeva. "Управління грошовими потоками банків." Diss., Одеський національний економічний університет, 2015. http://dspace.oneu.edu.ua/jspui/handle/123456789/5045.

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У дисертації охарактеризовано науково-категорійний апарат щодо визначення понять «грошові потоки банків», «управління грошовими потоками банків». Обґрунтовано науково-методичний підхід до управління грошовими потоками банків на основі розробленої системно-процесної моделі, яка функціонує на основі інтеграції принципів системного та процесного підходів до управління та специфічних принципів управління грошовими потоками. Запропоновано комплекс інструментарію до формування аналітичного забезпечення управління грошовими потоками банків на основі системно-процесної моделі. Сформоване науково-методичне забезпечення планування грошових потоків банків на основі поетапної реалізації процедур трансформації цільових параметрів стратегічного рівня у план (бюджет) руху грошових коштів та платіжний календар. Запропоновано систему оцінювання якості управління грошовими потоками на основі розрахунку динамічного векторного показника. Запропоновано науково-методичний підхід до управління грошовими потоками банків на основі запровадження інтегральної багатофакторної моделі стрес-тестування ризиків, що генеруються грошовими потоками.
Диссертация посвящена развитию научно-методических подходов и разработке практических рекомендаций, направленных на повышение эффективности управления денежными потоками банков с учетом рисков в условиях значительной неопределенности операционной среды. На основе обобщения результатов научных исследований определена сущность понятия «денежные потоки банков»; разработана классификация видов денежных потоков банков для целей управления с выделением базовых и дополнительных критериев; систематизированы факторы, влияющие на денежные потоки банков и управление ними, на основе двухуровневой градации с учетом источника происхождения и масштаба влияния. Автором проведѐн анализ основных количественных показателей, характеризующих денежные потоки банков Украины, и определен состав экзогенных и эндогенных факторов, влияние которых необходимо учитывать при управлении ними. В работе обосновано, что управление денежными потоками банков – это целенаправленное многоуровневое влияние взаимосвязанных между собой элементов подсистем управления на процесс формирования и дальнейшего регулирования их количественных и качественных параметров, обеспечивающих достижение целей финансового менеджмента в пределах заданных величин рисков, генерируемых ими, с соблюдением общих и специфических принципов. В работе предложена системно-процессная модель управления денежными потоками банков, функционирующая на основе интеграции общих принципов системного и процессного подходов к управлению и специфических принципов управления денежными потоками. На основе системно-процесного подхода автор развернуто охарактеризовал функции управления денежными потоками банков, на основании чего разработаны рекомендации по повышению эффективности их реализации. Автором сформировано научно-методическое обеспечение планирования денежных потоков банков, предусматривающее поэтапную реализацию процедур трансформации целевых параметров стратегического уровня в план (бюджет) движения денежных средств и платежный календарь. Для формирования управленческих решений, не допускающих снижения уровня финансовой устойчивости банков, предложен научно-методический подход к управлению денежными потоками банков на основе внедрения интегральной многофакторной модели стресс-тестирования рисков, генерируемых ними. Полученные в результате стресс-тестирования данные являются основой принятия управленческих решений, которые, в зависимости от горизонта реагирования, предложено структурировать на меры долгосрочного, среднесрочного характера и меры немедленного реагирования. Систему показателей оценки качества управления денежными потоками банков предложено дополнить динамическим векторным показателем. Его использование в управлении денежными потоками банков позволяет отслеживать и оперативно реагировать на негативные изменения в их деятельности, приводящих к ухудшению количественных и качественных параметров денежных потоков. Предложено научно-методическое обеспечение контроля денежных потоков банков на основе внедрения финансового контролинга, предусматривающего интеграцию анализа, планирования, контроля количественных параметров денежных потоков и управления рисками.
The dissertation considers a scientific and categorical apparatus regarding defining concepts of “banking cash flows” and “management of banking cash flows”. The author has substantiated a scientific and methodic approach to management of banking cash flows on the basis of a developed system and process model, which functions due to integration of principles of system and process approaches to management and specific principles of cash flow management. The author has proposed a complex of instruments aimed at formation of analytical tools for management of banking cash flows on the basis of the system and process model. The author has formed scientific and methodical support of planning banking cash flows on the basis of step-by-step implementation of procedures of transformation of strategic level target parameters into a cash flow plan (budget) and a payment schedule. The author has proposed a system of cash flow management quality assessment on the basis of calculation of a dynamic vector figure. The author has offered a scientific and methodical approach to management of banking cash flows on the basis of implementation of an integral multi-factor model of stress testing of risks generated by cash flows.

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Yang, Shu-Yung, and 楊淑韻. "Risk Management for Liquidity Shock." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/81375607507089913677.

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Dissertations / Theses on the topic 'Liquidity risk management'

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