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Quantification of Structural Liquidity Risk in Banks

By (author) Christoph Wieser

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normal price: R 1 782.95

Price: R 1 692.95

| book description |

Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits and lending out long-term loans, thus allowing a maturity mismatch between assets and liabilities. At some point the long-term loans will require refinancing and the institution is at risk of an adverse development of refinancing costs.This book proposes a model for the quantification of structural liquidity risk and describes the underlying methodology and assumptions for stressing the refinancing costs. The change in present value between closing open liquidity positions under stressed refinancing costs compared to current costs is the calculated impact on risk-bearing capacity.

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Normally shipped | This title will take longer to obtain, and should be delivered in 6-8 weeks
Publisher | Springer Fachmedien Wiesbaden
Published date | 21 Oct 2022
Language |
Format | Paperback / softback
Pages | 68
Dimensions | 210 x 148 x 0mm (L x W x H)
Weight | 0g
ISBN | 978-3-6583-9592-6
Readership Age |
BISAC | business & economics / management

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Normally shipped | Available from overseas. Usually dispatched in 14 days
Readership Age |
Normal Price | R 2 267.95
 Price | R 2 153.95 | on special |

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