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Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen

  • Michael Pohl

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

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    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.

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

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

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    Handle: RePEc:kuk:journl:v:43:y:2010:i:2:p:271-302
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