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Quantification of Structural Liquidity Risk in Banks (BestMasters) - Tapa blanda

Wieser, Christoph

 
9783658395926: Quantification of Structural Liquidity Risk in Banks (BestMasters)
Tapa blanda
ISBN 10: 3658395923 ISBN 13: 9783658395926
Editorial: Springer Gabler, 2022

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

Christoph Wieser completed his Master's degree in Quantitative Asset and Risk Management at the University of Applied Sciences BFI in Vienna. In parallel to this programme he started his professional career in the liquidity risk management team of an Austrian bank, where he is currently working in the area of balance sheet risk management.

De la contraportada

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.

About the author
Christoph Wieser completed his Master's degree in Quantitative Asset and Risk Management at the University of Applied Sciences BFI in Vienna. In parallel to this programme he started his professional career in the liquidity risk management team of an Austrian bank, where he is currently working in the area of balance sheet risk management.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer Gabler
Año de publicación
2022
Idioma
Inglés
ISBN 10 
3658395923
ISBN 13 
9783658395926
Encuadernación
Tapa blanda
Número de edición
1
Número de páginas
84
Contacto del fabricante
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