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Cover: 9783658395926 | Quantification of Structural Liquidity Risk in Banks | Wieser | Buch
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Quantification of Structural Liquidity Risk in Banks
Taschenbuch von Christoph Wieser
Sprache: Englisch

47,95 €*

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Lieferzeit 4-7 Werktage

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Beschreibung
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.
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.
Über den 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.
Inhaltsverzeichnis
Introduction.- Liquidity and risk.- Liquidity risk regulation.- Liquidity risk management.- Model for the quantification of structural liquidity risk.- Calculation.- Conclusion.- References.
Details
Erscheinungsjahr: 2022
Fachbereich: Management
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 84
Reihe: BestMasters
Inhalt: xv
68 S.
23 s/w Illustr.
68 p. 23 illus. Textbook for German language market.
ISBN-13: 9783658395926
ISBN-10: 3658395923
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Wieser, Christoph
Auflage: 1st ed. 2022
Hersteller: Springer Fachmedien Wiesbaden
Springer Fachmedien Wiesbaden GmbH
BestMasters
Maße: 210 x 148 x 6 mm
Von/Mit: Christoph Wieser
Erscheinungsdatum: 21.10.2022
Gewicht: 0,122 kg
preigu-id: 125012005
Über den 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.
Inhaltsverzeichnis
Introduction.- Liquidity and risk.- Liquidity risk regulation.- Liquidity risk management.- Model for the quantification of structural liquidity risk.- Calculation.- Conclusion.- References.
Details
Erscheinungsjahr: 2022
Fachbereich: Management
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 84
Reihe: BestMasters
Inhalt: xv
68 S.
23 s/w Illustr.
68 p. 23 illus. Textbook for German language market.
ISBN-13: 9783658395926
ISBN-10: 3658395923
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Wieser, Christoph
Auflage: 1st ed. 2022
Hersteller: Springer Fachmedien Wiesbaden
Springer Fachmedien Wiesbaden GmbH
BestMasters
Maße: 210 x 148 x 6 mm
Von/Mit: Christoph Wieser
Erscheinungsdatum: 21.10.2022
Gewicht: 0,122 kg
preigu-id: 125012005
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