Quantification of Structural Liquidity Risk in Banks

Viac o knihe

Focusing on structural liquidity risk, the book presents a model for quantifying this significant risk inherent in banking, where short-term deposits are mismatched with long-term loans. It details the methodology and assumptions used to stress refinancing costs, highlighting the potential adverse effects on an institution's financial stability. The analysis includes calculating the change in present value when comparing stressed refinancing scenarios to current costs, ultimately assessing the impact on the institution's risk-bearing capacity.