A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks

Author(s):  
T. C. Wong ◽  
C. H. Hui
2020 ◽  
Vol 29 (3) ◽  
pp. 251-273
Author(s):  
Hana Hejlová ◽  
Zlatuše Komárková ◽  
Marek Rusnák

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 43-53
Author(s):  
Eugenia Schmitt

The need to focus on banks funding structure and stress testing in an explicit way arose as a consequence of the crisis of past decades. Liquidity risks usually occur as a consequence of other kinds of risks, hence analysing scenarios in a prospective manner is essential for the assessment if the bank can fulfill its obligations as they come due and if its funding costs are appropriate. The structural liquidity risk and the degree of the liquidity mismatch can be measured based on the liquidity gap analysis, where expected cash-in- and outflows, divided in different time-buckets are depicted. The liquidity gap report (LGR) shows if a liquidity shortcoming appears in the future and how high is the amount a bank would have to pay, if any hedging were not possible. This paper shows how to build a comprehensive LGR which is the base for both, liquidity and wealth risk evaluation. To improve the accuracy of the forecast, the counterbalancing capacity will be incorporated into the LGR. This tool is a methodological basis for quantitative and qualitative risk assessment and stress testing.


Water ◽  
2022 ◽  
Vol 14 (2) ◽  
pp. 154
Author(s):  
Dionysios Nikolopoulos ◽  
Panagiotis Kossieris ◽  
Ioannis Tsoukalas ◽  
Christos Makropoulos

Optimizing the design and operation of an Urban Water System (UWS) faces significant challenges over its lifespan to account for the uncertainties of important stressors that arise from population growth rates, climate change factors, or shifting demand patterns. The analysis of a UWS’s performance across interdependent subsystems benefits from a multi-model approach where different designs are tested against a variety of metrics and in different times scales for each subsystem. In this work, we present a stress-testing framework for UWSs that assesses the system’s resilience, i.e., the degree to which a UWS continues to perform under progressively increasing disturbance (deviation from normal operating conditions). The framework is underpinned by a modeling chain that covers the entire water cycle, in a source-to-tap manner, coupling a water resources management model, a hydraulic water distribution model, and a water demand generation model. An additional stochastic simulation module enables the representation and modeling of uncertainty throughout the water cycle. We demonstrate the framework by “stress-testing” a synthetic UWS case study with an ensemble of scenarios whose parameters are stochastically changing within the UWS simulation timeframe and quantify the uncertainty in the estimation of the system’s resilience.


2017 ◽  
Vol 73 ◽  
pp. 22-40
Author(s):  
Spyros Pagratis ◽  
Nikolas Topaloglou ◽  
Mike Tsionas

2020 ◽  
Vol 4 (1) ◽  
pp. 29-52
Author(s):  
Sheikh Muhammad Umer Farooq ◽  
Muhammad Zubair Mumtaz

This study empirically examines the relationship between the banking competition and the risks faced by the financial sector (i.e. solvency, liquidity, and credit risks) considering 31 banks for the period 2001 to 2018. Banks are further sub-divided into three categories i.e. state-owned banks, foreign banks, and private/commercial banks. The results reveal that Pakistan’s banking industry is relatively elastic and an increase in competition is directly associated with solvency risk, liquidity risk and credit risk of financial institutions and these findings corroborate the competition fragility theory. Besides, state-owned banks have a lesser probability to cope with solvency risk, however, foreign banks appear to face the least liquidity risk whereas private banks appear to face the least credit risk among the entire cluster.


2013 ◽  
Author(s):  
Jerome Henry ◽  
Christoffer Kok ◽  
Adrien Amzallag ◽  
Patrizia Baudino ◽  
Inês Cabral ◽  
...  

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