Description

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. 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. About the author Christoph Wieser completed his Master’s degree in Quantitative Asset and Risk Management at the University of Applied Sciences BFI in Vienna. In parallel to this programme he started his professional career in the liquidity risk management team of an Austrian bank, where he is currently working in the area of balance sheet risk management. LangueenVersionBrochéDate de sortie initiale21 octobre 2022Nombre de pages68IllustrationsAvec illustrations

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Auteur principal

Christoph Wieser

Editeur principal

Springer Gabler

Informations sur le fabricant

Nom du fabricantSpringer Nature Customer Service Center GmbHAdresse du fabricant– 69115 – – DEAdresse électronique du fabricant[email protected]Informations sur le fabricantLes informations du fabricant ne sont actuellement pas disponibles

Autres spécifications

Hauteur de l’emballage210 mmLargeur d’emballage148 mmLargeur du produit148 mmLivre d‘étudeNonLongueur d’emballage210 mmLongueur du produit210 mmPoids de l’emballage127 gÉdition1st ed. 2022

EAN

EAN9783658395926

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