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Liquidity Risk Management In Crisis Conditions

Author

Listed:
  • Mutu Simona

    (Universitatea Babes Bolyai, Facultatea de Stiinte Economice si Gestiunea Afacerilor)

  • Matis Eugenia

    (Universitatea Crestina Dimitrie Cantemir, Facultatea de Stiinte Economice)

Abstract

In order to measure the liquidity risk we have developed an analysis model, based on stress-testing scenarios, that shows the ability of the bank to face different types of liquidity crisis. The scenarios were designed for each balance sheet position for assets and liabilities: Ordinary Course of Business, Name Crisis (Mild Name Crisis and Severe Name Crisis), Market Crisis (Mild Market Crisis and Severe Market Crisis) that reflects banking sector crisis and persistent recession. This offers a dynamic image about the bank's liquidity in report with different types of liquidity scenarios, but also about the time horizon of analyze. The research also wants to highlight the most significant features to consider in order to implement an effective liquidity risk management and to achieve a more integrated supervisory framework.

Suggested Citation

  • Mutu Simona & Matis Eugenia, 2010. "Liquidity Risk Management In Crisis Conditions," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 760-765, December.
    • Handle: RePEc:ora:journl:v:1:y:2010:i:2:p:760-765
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    File URL: http://anale.steconomiceuoradea.ro/volume/2010/n2/120.pdf
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    References listed on IDEAS

    as
    1. Bank for International Settlements, 1999. "Market Liquidity: Research Findings and Selected Policy Implications," CGFS Papers, Bank for International Settlements, number 11.
    2. Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
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    More about this item

    Keywords

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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • 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
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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