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Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen

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  • Michael Pohl

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

Abstract

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.

Suggested Citation

  • Michael Pohl, 2010. "Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen," Credit and Capital Markets, Credit and Capital Markets, vol. 43(2), pages 271-302.
  • Handle: RePEc:kuk:journl:v:43:y:2010:i:2:p:271-302
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    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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