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Liquidity Risk - Measurement and Control

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  • Naďa Blahová

Abstract

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses qualitative regulatory requirements and eligibility of newly formulated standards with regard to minimum liquidity in general and in relation to the Czech banking sector in particular.

Suggested Citation

  • Naďa Blahová, 2012. "Liquidity Risk - Measurement and Control," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2012(1), pages 41-61.
    • Handle: RePEc:prg:jnlefa:v:2012:y:2012:i:1:id:14:p:41-61
    DOI: 10.18267/j.efaj.14
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    References listed on IDEAS

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    1. Evan Gatev & Philip E. Strahan, 2006. "Banks' Advantage in Hedging Liquidity Risk: Theory and Evidence from the Commercial Paper Market," Journal of Finance, American Finance Association, vol. 61(2), pages 867-892, April.
    2. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
    3. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
    4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
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    More about this item

    Keywords

    Bank; Financial market; Liquidity; Regulation; Risk;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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