The liquidity reserve funding and management strategies
This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are presented and how these are interconnected and how they might affect a financial institution's liquidity risk. When managing the liquidity reserve and its included assets, the following influencing factors need to be taken into account: Firstly, the banking organisation itself, with its business model, funding structure and related types of risk; secondly, national and international regulatory requirements have to be fulfilled and lastly, financial market behaviour and its participants need to have carefully watched and anticipated, in order to manage the risk which might arise from the liquidity reserve itself.
|Date of creation:||2014|
|Date of revision:|
|Contact details of provider:|| Postal: Sonnemannstraße 9-11, 60314 Frankfurt am Main|
Phone: 069 154008-0
Web page: http://www.frankfurt-school.de/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rocco Huang & Lev Ratnovski, 2009.
"The dark side of bank wholesale funding,"
09-3, Federal Reserve Bank of Philadelphia, revised 01 Jun 2010.
- Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2011.
"The price of liquidity: The effects of market conditions and bank characteristics,"
Journal of Financial Economics,
Elsevier, vol. 102(2), pages 344-362.
- Fecht, Falko & Nyborg, Kjell G. & Rocholl, Jörg, 2011. "The price of liquidity: the effects of market conditions and bank characteristics," Working Paper Series 1376, European Central Bank.
- De Nicolò, Gianni & Gamba, Andrea & Luccetta, Marcella, 2012.
"Capital regulation, liquidity requirements and taxation in a dynamic model of banking,"
10/2012, Deutsche Bundesbank, Research Centre.
- : Gianni De Nicolo & Andrea Gamba & Marcella Lucchetta, 2012. "Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking," Working Papers wpn12-04, Warwick Business School, Finance Group.
- Gianni De Nicolo & Andrea Gamba & Marcella Lucchetta, 2012. "Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking," IMF Working Papers 12/72, International Monetary Fund.
- Di Nicolo, G. & Gamba, A. & Lucchetta, M., 2011. "Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking," Discussion Paper 2011-090, Tilburg University, Center for Economic Research.
- Simone Varotto, 2003. "Credit risk diversification: evidence from the eurobond market," Bank of England working papers 199, Bank of England.
- Drehmann, Mathias & Nikolaou, Kleopatra, 2009.
"Funding liquidity risk: definition and measurement,"
Working Paper Series
1024, European Central Bank.
- Mathias Drehmann & Kleopatra Nikolaou, 2010. "Funding liquidity risk: definition and measurement," BIS Working Papers 316, Bank for International Settlements.
- Allen, Franklin & Carletti, Elena, 2008. "The role of liquidity in financial crises," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 379-412.
- Heider, F. & Hoerova, M. & Holthausen, C., 2009.
"Liquidity Hoarding and Interbank Market Spreads : The Role of Counterparty Risk,"
2009-40 S, Tilburg University, Center for Economic Research.
- Heider, Florian & Hoerova, Marie & Holthausen, Cornelia, 2010. "Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk," CEPR Discussion Papers 7762, C.E.P.R. Discussion Papers.
- Heider, Florian & Hoerova, Marie & Holthausen, Cornelia, 2009. "Liquidity hoarding and interbank market spreads: the role of counterparty risk," Working Paper Series 1126, European Central Bank.
- Marie Hoerova & Cornelia Holthausen & Florian Heider, 2009. "Liquidity hoarding and interbank market spreads: the role of counterparty risk," 2009 Meeting Papers 929, Society for Economic Dynamics.
- Farag, Marc & Harland , Damian & Nixon, Dan, 2013. "Bank capital and liquidity," Bank of England Quarterly Bulletin, Bank of England, vol. 53(3), pages 201-215.
- 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, 04.
- Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
- Sugato Chakravarty & Asani Sarkar, 1999. "Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets," Staff Reports 73, Federal Reserve Bank of New York.
- Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
When requesting a correction, please mention this item's handle: RePEc:zbw:fsfmwp:210. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.