scholarly journals Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Liquidity Risk

2021 ◽  
Author(s):  
Thierry Roncalli
Keyword(s):  
Asset Management ◽  
Stress Testing ◽  
Liquidity Risk

scholarly journals Liquidity Stress Testing in Asset Management - Part 2. Modeling the Asset Liquidity Risk

2021 ◽  
Author(s):  
Thierry Roncalli ◽  
Amina Cherief ◽  
Fatma Karray-Meziou ◽  
Margaux Regnault
Keyword(s):  
Asset Management ◽  
Stress Testing ◽  
Liquidity Risk ◽  
Asset Liquidity

scholarly journals Liquidity Stress Testing in Asset Management, Part 1. Modeling the Liability Liquidity Risk

2020 ◽  
Author(s):  
Thierry Roncalli ◽  
Fatma Karray-Meziou ◽  
François Pan ◽  
Margaux Regnault
Keyword(s):  
Asset Management ◽  
Stress Testing ◽  
Liquidity Risk

Liquidity Gap Report for Stress Testing Structural Liquidity Risk

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 43-53
Author(s):  
Eugenia Schmitt
Keyword(s):  
Risk Assessment ◽  
Risk Evaluation ◽  
Stress Testing ◽  
Gap Analysis ◽  
Liquidity Risk ◽  
Methodological Basis ◽  
Qualitative Risk Assessment ◽  
The Future ◽  
Liquidity Gap

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.

scholarly journals System stress testing of bank liquidity risk

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

Liquidity Stress Testing in Asset Management - Part 4. A Step-by-step Practical Guide

2021 ◽  
Author(s):  
Thierry Roncalli ◽  
Amina Cherief
Keyword(s):  
Asset Management ◽  
Stress Testing ◽  
Practical Guide

scholarly journals Model of Stress-testing of Banks’ Liquidity Risk in Ukraine

2018 ◽  
pp. 123-132 ◽  
Author(s):  
Olena Krykliy ◽  
◽  
Iryna Luchko ◽  
Keyword(s):  
Stress Testing ◽  
Liquidity Risk

scholarly journals STRESS TESTING OF LIQUIDITY AT A SAMPLE OF SYRIAN PRIVATE BANKS

2019 ◽  
Vol 14 (2) ◽  
pp. 128-131
Author(s):  
Каисси Ал ◽  
Kaissi Al
Keyword(s):  
Stress Testing ◽  
Banking Sector ◽  
Liquidity Risk ◽  
Islamic Banks ◽  
Economic Changes ◽  
Sudden Drop ◽  
Private Banks ◽  
Negative Effect ◽  
Using Data ◽  
Conventional And Islamic Banks

Sustainability tests are considered as a tool for measuring risk, especially with regard to the assessment of possible events in the banking sector as a result of changes in the general economic situation or the occurrence of certain events in the bank. The aim of this study is to test the ability of two Syrian private banks to bear liquidity risk using data for 2018 in accordance with the coefficients set by the Central Bank of Syria. The results of the study showed the ability of banks to resist liquidity risk in case of sudden withdrawal of funds from current deposits and the availability of sufficient funds to meet it. The sudden drop in current deposits in private Syrian banks does not reduce their ability to pay their financial obligations. Both banks successfully passed testing, achieved a positive net inflow, and the liquidity ratio after the test indicates a low liquidity risk. In other words, Syrian private banks are able to cope with liquidity risks. Private banks, whether ordinary or Islamic, are largely dependent on customer deposits, so any sudden negative changes that occur with these deposits have a negative effect on the liquidity of banks. The Syrian banking sector does not suffer from liquidity risk, has high liquidity ratios and is able to cope with economic changes. When adopting banking laws and regulations, Syrian regulators and authorities should take into account the differences between conventional and Islamic banks in terms of liquidity risks.

scholarly journals Risk Management and the Financial Performance of Banks in Nigeria

2020 ◽  
Vol 11 (5) ◽  
pp. 115
Author(s):  
Henry Inegbedion ◽  
Bello Deva Vincent ◽  
Eseosa Obadiaru
Keyword(s):  
Risk Management ◽  
Credit Risk ◽  
Financial Performance ◽  
Asset Management ◽  
Commercial Banks ◽  
Generalized Method Of Moments ◽  
Liquidity Risk ◽  
Capital Adequacy ◽  
Risk Capital ◽  
Ex Post

The study examined “risk management and financial performance of banks in Nigeria” with focus on commercial banks. The broad objective of the study was to ascertain the effect of risk asset management on the optimal financial performance of commercial banks in Nigeria. The study is a longitudinal survey, so the ex-post facto research design was applied. Research data were analysed using generalized method of moments (GMM) and vector Error Correction Model, after testing and adjusting the data for stationarity and Cointegration.The research findings were: Banks’ profitability is significantly influenced in the short run by liquidity risk and in the long-run by credit risk, capital adequacy risk, leverage risk and liquidity risk. Furthermore, profitability measured by ROaA was found to be positively related to liquidity risk but negatively related credit risk. Arising from the findings, there is the need for effective risk management, especially credit, capital adequacy, leverage and liquidity risks, to enhance the profitability of banks. By helping to enhance the going concern of banks, risk management will help to reduce retrenchment and unemployment and hence help to forestall the attendant social vices.

scholarly journals A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards

2020 ◽  
Vol 29 (3) ◽  
pp. 251-273
Author(s):  
Hana Hejlová ◽  
Zlatuše Komárková ◽  
Marek Rusnák
Keyword(s):  
Stress Testing ◽  
Liquidity Risk ◽  
Testing Framework
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