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.
