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Quantification Of Structural Liquidity Risk In Banks 1st Ed 2022 Christoph Wieser

  • SKU: BELL-46716024
Quantification Of Structural Liquidity Risk In Banks 1st Ed 2022 Christoph Wieser
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Quantification Of Structural Liquidity Risk In Banks 1st Ed 2022 Christoph Wieser instant download after payment.

Publisher: Springer Gabler
File Extension: PDF
File size: 1.07 MB
Pages: 83
Author: Christoph Wieser
ISBN: 9783658395926, 3658395923
Language: English
Year: 2022
Edition: 1st ed. 2022

Product desciption

Quantification Of Structural Liquidity Risk In Banks 1st Ed 2022 Christoph Wieser by Christoph Wieser 9783658395926, 3658395923 instant download after payment.

Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits and lending out long-term loans, thus allowing a maturity mismatch between assets and liabilities. At some point the long-term loans will require refinancing and the institution is at risk of an adverse development of refinancing costs.This book proposes a model for the quantification of structural liquidity risk and describes the underlying methodology and assumptions for stressing the refinancing costs. The change in present value between closing open liquidity positions under stressed refinancing costs compared to current costs is the calculated impact on risk-bearing capacity.

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