Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen
AbstractThis article introduces the liquidity gap analysis as a comprehensive instrument for the quantification of structural liquidity risks at banks. It is demonstrated how to quantify the cash-flow-related liquidity risk by applying a Monte-Carlo- Simulation to the risk factors of a bank’s cash flows. Furthermore, the liquidity gap analysis can also be utilised to determine the income- related liquidity risk, which is of importance in case of a profitabilityoriented risk management. Here, the liquidity balancing method becomes important. It cannot only quantify the income related liquidity risk caused by the volatility of credit spreads but also the income-related liquidity risk, which is caused by the cash-flow-related liquidity risk.
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Bibliographic InfoArticle provided by Credit and Capital Markets in its journal Kredit und Kapital.
Volume (Year): 43 (2010)
Issue (Month): 2 ()
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Web page: http://www.credit-and-capital-markets.de/
Find related papers by JEL classification:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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