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Quantification of Structural Liquidity Risk in Banks by Christoph Wieser

Quantification of Structural Liquidity Risk in Banks

by Christoph Wieser
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Book cover type: Paperback
  • ISBN13: 9783658395926
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer Gabler
  • Publication Date:
  • Pages: 68
  • Original Price: EUR 49.99
  • Language: English
  • Edition: 2022
  • Item Weight: 123 grams
  • BISAC Subject(s): Management and Industries / Financial Services

From the Back Cover
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 authorChristoph 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.

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.

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