Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen
Year: 2010
Author: Pohl, Michael
Credit and Capital Markets – Kredit und Kapital, Vol. 43 (2010), Iss. 2 : pp. 271–302
Abstract
Quantifying Income-Related Liquidity Risk by Liquidity Gap Analysis
This article introduces the liquidity gap analysis as a comprehensive instrument for the quantification of structural liquidity risks at banks. It is demonstrated how to quantify the cash-flow-related liquidity risk by applying a Monte-Carlo-Simulation to the risk factors of a bank's cash flows.
Furthermore, the liquidity gap analysis can also be utilised to determine the income-related liquidity risk, which is of importance in case of a profitability-oriented risk management. Here, the liquidity balancing method becomes important. It cannot only quantify the income related liquidity risk caused by the volatility of credit spreads but also the income-related liquidity risk, which is caused by the cash-flow-related liquidity risk.
Journal Article Details
Publisher Name: Global Science Press
Language: German
DOI: https://doi.org/10.3790/kuk.43.2.271
Credit and Capital Markets – Kredit und Kapital, Vol. 43 (2010), Iss. 2 : pp. 271–302
Published online: 2010-04
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 32
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