Warianty tytułu
Języki publikacji
Abstrakty
The correct approach to liquidity risk management in banks is essential for securing their financial stability. The position of liquidity risk among the rest of bank risks is specific because the negative outcome is not just a loss, but directly the bankruptcy of the institution. Such an occurrence might start a chain reaction and bring uncertainty into the entire financial system. This paper focused on one source of liquidity risk, i.e. management of liquidity throughout the day. The management of intraday liquidity is related to cash inflows and outflows occurring during the business day, their timing and settlement. In 2013, the BCBS published the document Monitoring tools for intraday liquidity management, often referred to by the regulatory authorities. It offers basic concepts of intraday liquidity monitoring and sketchily defines stress scenarios. The author suggests possibilities of how to perform intraday liquidity stress testing in a bank, which is often required by supervisors, even though no detailed approach or methodology as to how to proceed was introduced by the regulators. The research was carried out on anonymised data of cash inflows and outflows recorded on a central bank reserves account of one of the Slovak commercial banks. Both a base and four stress scenarios were developed and suggested for the better understanding of expected cashflows in standard conditions and during stress. The author's aim was to develop scenarios in a non-traditional way by means of a basic and EWMA historical bootstrap simulations, respectively. Stress scenarios are supposed to simulate reputation crisis, disruption in RTGS payment system, increased deposit outflows and bank run. The purpose of the proposed intraday liquidity monitoring scenarios was to strengthen resilience not only for a concrete bank, but also the entire financial system. Intraday liquidity monitoring is a key factor in securing stability of the financial sector.(original abstract)
Twórcy
autor
- University of Economics in Bratislava, Slovakia
autor
- University of Economics in Bratislava, Slovakia
Bibliografia
- Ball, A., Denbee, E., Manning, M., and Wetherilt, A. (2011). Intraday Liquidity: Risk and Regulation. Bank of England Financial Stability Paper, 11.
- Barbe, P., and Bertail, P. (1995). The Weighted Bootstrap. Springer.
- BCBS (2013). Monitoring tools for intraday liquidity management. Basel Committee on Banking Supervision. Retrieved from: https://www.bis.org/publ/bcbs248.pdf.
- Castagna, A., and Fede, F. (2013). Measuring and Managing Liquidity Risk. Wiley 1st Edition.
- Cucinelli, D. (2013). The Determinants of Bank Liquidity Risk within the Context of Euro Area. Interdisciplinary Journal of Research in Business, 2(10), 51-64.
- Drehman, M., and Nikolaou, K. (2013). Funding liquidity risk: Definition and measurement. Journal of Banking & Finance, 37(7), 2173-2182.
- Efron, B. (1979). Bootstrap Methods: Another Look at the Jackknife. Springer.
- Efron, B., and Tibshirani, R. (1993). An Introduction to the Bootstrap. CRC Press 1st Edition.
- Farahvash, P. (2020). Asset-Liability and Liquidity Management. Wiley 1st Edition.
- Fox, J., and Weisberg, S. (2018). R Companion to Applied Regression: Bootstrapping Regression Models. R. SAGE publications, 3rd Edition.
- Giordana, G., and Schumacher, I. (2013). Bank liquidity risk and monetary policy. Empirical evidence on the impact of Basel III liquidity standards. International Review of Applied Economics, 27(5).
- Hall, P., and Maesono, Y. (2002). A weighted bootstrap approach to bootstrap iteration. Series B: Statistical Methodology, 62(1), 137-144.
- Hesterberg, T. (2011). Bootstrap. Interdisciplinary review: Computational statistics, 3(6), 497-526.
- Hong, H., Huang, J.-Zh., and Wu, D. (2014). The information content of Basel III liquidity risk measures. Journal of Financial Stability, 15, 91-111.
- Horáková, G., Páleš, M., and Slaninka, F. (2015). Teoria rizika v poistení. Wolters Kluwer, prvé vydanie.
- Hull, J. (2018). Risk Management and Financial Institutions. Wiley 5th Edition.
- Ippolito, F., Peydró, J.-L., Polo, A., and Sette, E. (2016). Double bank runs and liquidity risk management. Journal of Financial Economics, 122(1), 135-154.
- Kalkbrenner, M., and Willing, J. (2004). Risk management of non-maturing liabilities. Journal of Banking & Finance, 28(7), 1547-1568.
- Khan, M., Scheule, H., and Wu, E. (2017). Funding liquidity and bank risk taking. Journal of Banking & Finance, 82, 203-216.
- León, C. (2012). Estimating Financial Institutions' Intraday Liquidity Risk: A Monte Carlo Simulation Approach. Borradores de Economia, SSRN Electronic Journal.
- Liermann, V., Li, S., and Steuer, R. (2021). Kafka - A Practical Implementation of Intraday Liquidity Risk Management. The Digital Journey of Banking and Insurance, 3(1), 105-116.
- Masuku, M., and Singh, A. (2014). Sampling Techniques and Determination of Sample Size in Applied Statistics Research: An Overview. International Journal of Economics, Commerce and Management, 2(11),1-22.
- Pagratis, S., Topaloglou, N., and Tsionas, M. (2017). System stress testing of bank liquidity risk. Journal of International Money and Finance, 73, Part A, 22-40.
- Roncalli, T. (2021). Liquidity Stress Testing in Asset Management - Part 3. Managing the Asset-Liability Risk.
- Scannella, E. (2016). Theory and Regulation of Liquidity Risk Management in Banking. International Journal of Risk Assessment and Management, 19(1/2), 4-21.
- Skoglund, J. and Chen, W. (2015). Financial Risk Management: Application in Market, Credit, Asset and Liability Management and Firmwide Risk. Wiley.
- Smolík, M. (1995). Manažment bankových aktív a pasív. ELITA.
- Soprano, A. (2015). Liquidity Management: A Funding Risk Handbook. Wiley.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171668151
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.