IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen

Listed author(s):
  • Michael Pohl

    (Universität Basel, Wirtschaftswissenschaftliches Zentrum (WWZ), Abteilung Bankmanagement und Controlling, Petersgraben 51, CH-4003 Basel)

Registered author(s):

    This 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.

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

    Volume (Year): 43 (2010)
    Issue (Month): 2 ()
    Pages: 271-302

    in new window

    Handle: RePEc:kuk:journl:v:43:y:2010:i:2:p:271-302
    Contact details of provider: Web page:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:kuk:journl:v:43:y:2010:i:2:p:271-302. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Credit and Capital Markets)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.