Download or read book Liquidity Risk Management in Banks written by Roberto Ruozi and published by Springer Science & Business Media. This book was released on 2012-09-20 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent turmoil on financial markets has made evident the importance of efficient liquidity risk management for the stability of banks. The measurement and management of liquidity risk must take into account economic factors such as the impact area, the timeframe of the analysis, the origin and the economic scenario in which the risk becomes manifest. Basel III, among other things, has introduced harmonized international minimum requirements and has developed global liquidity standards and supervisory monitoring procedures. The short book analyses the economic impact of the new regulation on profitability, on assets composition and business mix, on liabilities structure and replacement effects on banking and financial products.
Download or read book Liquidity Risk and Its Determinants written by Anatun Nur Nasuha Mudzaffar and published by . This book was released on 2018 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity risk is one of the important risk in financial risk management. It is important to even a small firm until to the big financial institutions like bank. It has become increasingly important to measure, manage and assess the impact of liquidity risk on the economics of every firm. liquidity risk has been crucial for financial institutions and for the stability of the financial system. The financial crisis has promoted the adoption of much more advanced liquidity risk management policies and liquidity risk measurement methodologies. This study attempted to investigate the influence of firm-specific factors and macro-economic factors affecting liquidity risk of Bosideng International Holding Limited. This study employs time series regression analysis this firm from 2012 to 2016. The analysis shows that firm-specific factors (average collection period) and macro-economic factor (company's beta) influence the liquidity risk of the firms. This study suggest that the firms should manage their account receivable efficiently by establishing a clear credit.
Download or read book An Empirical Study on Liquidity Risk and Its Determinants in Bosnia and Herzegovina written by Mehmed Ganic and published by . This book was released on 2014 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents the research of liquidity risk and its determinants in banking sector of Bosnia and Herzegovina (B&H). The aim of this paper is to examine banks' exposure to liquidity risk in the context of 17 out of 28 commercial banks in B&H, by using data in the period 2002-2012. In the empirical part of the research the multiple regression analysis will be applied with the aim to test the statistical significance and explanatory power of selected variables using various data analysis techniques. For the purpose of analysis of the subject matter and the aim of the research, our paper is organized as follows: After background information about trends in liquidity position of banking sector in B&H and its development is provided in Section 1, Section 2 provides a brief overview of the conducted researches in recent years related to the determinants of the commercial banks' liquidity. Section 3 describes models and variables used in the models & hypotheses. Section 4 analyzes and interprets the empirical findings the impact of explanatory variables on banks' exposure to liquidity risk. Finally, the research conducted in this study showed that most of the analyzed variables had a certain influence on determining the level of banks' exposure to liquidity risk Based on this research the commercial banks should further decide which a variable needs to be used in order to achieve desired level of liquidity.
Download or read book Liquidity Management written by Aldo Soprano and published by John Wiley & Sons. This book was released on 2015-05-04 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robust management of liquidity risk within the changing regulatory framework Liquidity Management applies current risk management theory, techniques, and processes to liquidity risk control and management to help organizations prepare in case of future economic crisis and changing regulatory framework. Based on extensive research conducted on banks' datasets, this book addresses the practical challenges and critical issues that frequently go unmentioned, and discusses the recent impact of sovereign crises on banks' liquidity processes and approaches. Market practices and regulatory stances are reviewed and compared to bank treasuries' response to liquidity crunches, refinancing risks are explored in the context of Basel 3, and alternative funding is analyzed in terms of resilience and allocation. Coverage includes the recent crisis, new regulations, and the techniques, processes, and strategies banks use in managing liquidity risk. The 2008 and 2010 crises brought liquidity risk out of the shadows as even profitable and well-capitalized banks were swept away with breathtaking speed. This book reviews modeling and internal process design in the context of the structural change in market conditions on banks' refinancing and control requirements, helping readers rethink and re-design their organization's approach to liquidity risk. Understand the new liquidity regulatory framework and the implications for banks Study the latest liquidity measurement models, with stress testing and scenario analysis Discover the effect of illiquid financing markets and possible lasting impacts Compare market liquidity and warning signals that detect further deterioration With much of the world still reeling from history, it's important that liquidity risk become a major focus going forward. This practical guide provides valuable information, but also real, actionable steps that can be taken today to forecast and mitigate risks with an eye toward greater stability and security. Liquidity Management is a thorough, comprehensive guide to a more robust management of liquidity risk.
Download or read book Liquidity Risk and Its Determinants written by Nor Afiqah Azhar and published by . This book was released on 2018 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity risk management is an important aspect in an organisation. It is important for an organisation to manage liquidity risk efficiently. Hence, this study attempted to investigate the influence of firm-specific factors and macro-economic factors affecting liquidity risk of firms in manufacturing industry in China which is specific on TCL Communication Holding Limited. This study employs time series regression analysis of firms in TCL Communication Holding Limited from 2012 to 2016. The analysis shows that firm-specific factor (operating margin) and macro-economic factor (exchange rate) influence the liquidity risk of the firms.
Download or read book Liquidity Risk Measurement and Management written by Leonard Matz and published by John Wiley & Sons. This book was released on 2006-11-10 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Major events such as the Asian crisis in 1997, the Russian default on short-term debt in 1998, the downfall of the hedge fund long-term capital management in 1998 and the disruption in payment systems following the World Trade Center attack in 2001, all resulted in increased management’s attention to liquidity risk. Banks have realized that adequate systems and processes for identifying, measuring, monitoring and controlling liquidity risks help them to maintain a strong liquidity position, which in turn will increase the confidence of investors and rating agencies as well as improve funding costs and availability. Liquidity Risk Measurement and Management: A Practitioner’s Guide to Global Best Practices provides the best practices in tools and techniques for bank liquidity risk measurement and management. Experienced bankers and highly regarded liquidity risk experts share their insights and practical experiences in this book.
Download or read book Liquidity Risk and Its Determinants written by Ejin Awin and published by . This book was released on 2018 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity risk management is an important aspect in the organisation. In order to avoid efficiency, it is important for an organisation to manage liquidity risk. Hence, this study attempted to investigate the influence of firm-specific factors and macro-economic factors affecting liquidity risk of oil and gas industry in Tatneft. This study employs time series analysis from 2012 to 2016. The analysis shows that firm-specific factors (average collection period and corporate governance index score) and macro-economic factor (company's beta) influence the liquidity risk of the industry. This study suggest that the firms should manage their account receivable efficiently by establishing clear credit policy and incorporate more corporate governance elements such as transparency, accountability, fairness, and independence in the firms to make the company more efficient.
Download or read book Measuring and Managing Liquidity Risk written by Antonio Castagna and published by John Wiley & Sons. This book was released on 2013-09-03 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative practitioners, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, though thoroughly grounded in theory, the book begins with the basics of liquidity risks and, using examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book then goes on to look at tools which can be used to measure liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.
Download or read book Liquidity Risk Management written by Shyam Venkat and published by John Wiley & Sons. This book was released on 2016-03-28 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up-to-date, comprehensive guide on liquidity risk management—from the professionals Written by a team of industry leaders from the Price Waterhouse Coopers Financial Services Regulatory Practice, Liquidity Risk Management is the first book of its kind to pull back the curtain on a global approach to liquidity risk management in the post-financial crisis. Now, as a number of regulatory initiatives emerge, this timely and informative book explores the real-world implications of risk management practices in today's market. Taking a clear and focused approach to the operational and financial obligations of liquidity risk management, the book builds upon a foundational knowledge of banking and capital markets and explores in-depth the key aspects of the subject, including governance, regulatory developments, analytical frameworks, reporting, strategic implications, and more. The book also addresses management practices that are particularly insightful to liquidity risk management practitioners and managers in numerous areas of banking organizations. Each chapter is authored by a Price Waterhouse Coopers partner or director who has significant, hands-on expertise Content addresses key areas of the subject, such as liquidity stress testing and information reporting Several chapters are devoted to Basel III and its implications for bank liquidity risk management and business strategy Includes a dedicated, current, and all-inclusive look at liquidity risk management Complemented with hands-on insight from the field's leading authorities on the subject, Liquidity Risk Management is essential reading for practitioners and managers within banking organizations looking for the most current information on liquidity risk management.
Download or read book Prudential Supervision written by Frederic S. Mishkin and published by University of Chicago Press. This book was released on 2009-02-15 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since banking systems play a crucial role in maintaining the overall health of the economy, the adverse effects of poorly supervised systems may be quite severe. Without some form of vigilant external oversight, banking systems could fall prey to excessive risk taking, moral hazard, and corruption. Prudential supervision provides that oversight, using government regulation and monitoring to ensure the soundness of the banking system and, by extension, the economy at large. The contributors to this thoughtful volume examine the current state of prudential supervision, focusing on fundamental issues and key pragmatic concerns. Why is prudential supervision so important? What kinds of excess must it guard against? What particular forms does it take? Which of these are the most effective deterrents against mismanagement and system overload in today's rapidly shifting financial climate? The contributors foresee a continued movement beyond simple regulatory rules in banking and toward a more active evaluation and supervision of a bank's risk management practices.
Download or read book The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions written by Jiri Podpiera and published by International Monetary Fund. This book was released on 2010-06-01 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly data over 2004 - 08 for 29 European LCFIs. The results from a dynamic panel data estimator show that LCFIs’ business models, earnings potential, and economic uncertainty (represented by market expectations about the future risks of a particular LCFI and market views on prospects for economic growth) are among the most significant determinants of credit risk. The findings of the paper are broadly consistent with those of the literature on bank failure, where the determinants of the latter include the entire CAMELS structure - that is, Capital Adequacy, Asset Quality, Management Quality, Earnings Potential, Liquidity, and Sensitivity to Market Risk. By establishing a link between the financial and market fundamentals of LCFIs and their CDS spreads, the paper offers a potential tool for fundamentals-based vulnerability and early warning system for LCFIs.
Download or read book Liquidity Risk and Its Determinants written by Turgha Devi Sanglimuthu and published by . This book was released on 2018 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity risk management is an important aspect in an organisation. It is important for an organisation to manage liquidity risk efficiently. Hence, this study attempted to investigate the influence of the company factors and macroeconomic factors affecting liquidity risk of the Russia crude oil company. This study conducted the analysis about four companies located at Russia from the year 2012 until 2016. The analysis shows that company specific factors such as average collection period and corporate governance index score and macroeconomic factors such as company beta that influence the liquidity risk of each company. This study suggest that the firms should manage their account receivable efficiently by establishing clear credit policy and incorporate more corporate governance elements which four pillars.
Download or read book Market Liquidity written by Yakov Amihud and published by Cambridge University Press. This book was released on 2013 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 669 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
Download or read book Bank Liquidity Creation and Financial Crises written by Allen N. Berger and published by Academic Press. This book was released on 2015-11-24 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bank Liquidity Creation and Financial Crises delivers a consistent, logical presentation of bank liquidity creation and addresses questions of research and policy interest that can be easily understood by readers with no advanced or specialized industry knowledge. Authors Allen Berger and Christa Bouwman examine ways to measure bank liquidity creation, how much liquidity banks create in different countries, the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, the effects of bailouts, and much more. They also analyze bank liquidity creation in the US over the past three decades during both normal times and financial crises. Narrowing the gap between the "academic world" (focused on theories) and the "practitioner world" (dedicated to solving real-world problems), this book is a helpful new tool for evaluating a bank's performance over time and comparing it to its peer group. - Explains that bank liquidity creation is a more comprehensive measure of a bank's output than traditional measures and can also be used to measure bank liquidity - Describes how high levels of bank liquidity creation may cause or predict future financial crises - Addresses questions of research and policy interest related to bank liquidity creation around the world and provides links to websites with data and other materials to address these questions - Includes such hot-button topics as the effects of monetary policy (including interest rate policy, lender of last resort, and quantitative easing), the effects of capital, the effects of regulatory interventions, and the effects of bailouts
Download or read book A Comparative Analysis of the Determinants of Liquidity Risk Exposure in the Banking Sector of the Republic of Serbia and Banking Sectors of Former Socialist Countries written by Zeljko Racic and published by . This book was released on 2016 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to point out statistically significant empirical determinants of the exposure to liquidity risk for banks operating in the Republic of Serbia, and to perform a comparative analysis of the impact of these determinants on Serbian banks and banks from countries that have gone through a transitional period from being socialist countries to becoming members of the EU. Results indicate that increased exposure to liquidity risk in the local banking sector is associated with the following factors: high financial leverage, GDP growth, decline in the unemployment rate, decline in the deficit of balance of payments and an appreciation of local currency. The general impression is that the local banking sector is faced with an excessively high level of liquidity. Based on the comparative analysis carried out, and assuming that the Republic of Serbia undergoes a transition process that follows a model similar to that of the analysed EU members, several conclusions can be drawn regarding the nature of the effect of determinants of exposure to liquidity risk on banks during the transition period. It is to be expected that larger banks will keep their liquidity at relatively lower levels, that the development of the financial markets will lead to a change in liquidity management strategy and a reorientation of local banks to purchased liquidity management, and that the levels of capital adequacy will converge to that prescribed by the Basel regulatory framework.
Download or read book Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance written by Tiago Severo and published by International Monetary Fund. This book was released on 2012-07-01 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI - measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively associated with the Net Stable Funding Ratio (NSFR). The link between equity volatility and the SLRI allows me to calculate the cost that would be borne by public authorities for providing liquidity support to the financial sector. I use this information to estimate a liquidity insurance premium that could be paid by individual banks in order to cover for that social cost.
