fbpx

Patrik Mihalech – University of Economics in Bratislava, Faculty of Economic Informatics, Dolnozemská cesta 1, 852 35 Bratislava, Slovakia

 

DOI: https://doi.org/10.31410/ITEMA.2021.73

 

5th International Scientific Conference on Recent Advances in Information Technology, Tourism, Economics, Management and Agriculture – ITEMA 2021, Online/virtual, October 21, 2021, CONFERENCE PROCEEDINGS published by the Association of Economists and Managers of the Balkans, Belgrade; Printed by: SKRIPTA International, Belgrade, ISBN 978-86-80194-51-6, ISSN 2683-5991, DOI: https://doi.org/10.31410/ITEMA.2021

 

Abstract

Correct assessment of banking risks is essential for a healthy bank­ing system and the development of economy. This paper focuses on liquidity risk management, more specifically on modelling of non-maturing liabilities. Liquidity risk emerges as a consequence of uncertainty in terms of future cash inflows and outflows. Due to the fact, that result of a liquidity crisis is not only loss, but directly bankruptcy of financial institutions, liquidity risk belongs among major banking risks. This paper aims to project future cash outflows emerging from corporate deposit accounts without contractual maturity with a focus on stress outflows, in case of crisis. Bootstrap simulation tech­niques are introduced and performed on anonymized historical time series of cumulative corporate balances of Slovak commercial banks. Stress scenario based on analysis is proposed as entry to the calculation of broader liquidity Survival period indicator.

Keywords

Liquidity risk; Bootstrap simulation; Non-maturing liabilities

References

BCBS (2008). Principles for Sound Liquidity Risk Management and Supervision. Basel Com­mittee on Banking Supervision

BCBS (2010a). Basel III: International framework for liquidity risk measurement, standards and monitoring. Basel Committee on Banking Supervision.

BCBS (2013a). Monitoring tools for intraday liquidity management. Basel Committee on Bank­ing Supervision.

BCBS (2013b). Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools. Basel Committee on Banking Supervision.

Castagna, A. & Fede, F. (2013). Measuring and Managing Liquidity Risk. London: Wiley.

Efron, B. (1979). Bootstrap Methods: Another Look at the Jackknife. Springer.

Farahvash, P. (2020). Asset-Liability and Liquidity Management. London: Wiley 1st Edition.

Hull, J. (2018). Risk Management and Financial Institutions. London: Wiley 5th Edition.

Iglarčíková, E. & Pinda, Ľ. (2016). Miery finančného rizika VaR a CVaR. Ekonomika a infor­matika, Bratislava : Ekonomická univerzita v Bratislave 2016, 2/2016 s. 46-58.

Kalkbrenner, M. & Willing, J. (2004). Risk management of non-maturing liabilities. Journal of Banking & Finance, Volume 28, Issue 7, July 2004, 1547-1568.

DOI: 10.1016/S0378-4266(03)00131-6

Scannella, E. (2016). Theory and Regulation of Liquidity Risk Management in Banking. Inter­national Journal of Risk Assessment and Management 19(1/2):4-21.

DOI: 10.1504/IJRAM.2016.074433

Smolík, M. (1995). Manažment bankových aktív a pasív. Bratislava: ELITA.

Skoglund, J. & Chen, W. (2015). Financial Risk Management: Application in Market, Credit, Asset and Liability Management and Firmwide Risk. London: Whiley.

 

Download Full Paper

Connect with us

Association of Economists and Managers of the Balkans – UdEkoM Balkan
179 Ustanicka St, 11000 Belgrade, Serbia

https://www.udekom.org.rs/home

Udekom Balkans is a dynamic non-governmental and non-profit organization, established in 2014 with a mission to foster the growth of scientific knowledge within the Balkan region and beyond. Our primary objectives include advancing the fields of management and economics, as well as providing educational resources to our members and the wider public.

Who We Are: Our members include esteemed university professors from various scientific disciplines, postgraduate students, and experts from ministries, public administrations, private and public enterprises, multinational corporations, associations, and similar organizations.

Building Bridges Together: Over the course of ten years since our establishment, the Association of Economists and Managers of the Balkans has established impactful partnerships with more than 1,000 diverse institutions across the Balkans region and worldwide.

ITEMA conference publications are licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.