| 书目名称 | Quantification of Structural Liquidity Risk in Banks |
| 编辑 | Christoph Wieser |
| 视频video | |
| 丛书名称 | BestMasters |
| 图书封面 |  |
| 描述 | 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.. |
| 出版日期 | Book 2022 |
| 关键词 | liquidity balance sheet; liquidity gap; Risk Measurement; maturity transformation; structural liquidity |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-658-39593-3 |
| isbn_softcover | 978-3-658-39592-6 |
| isbn_ebook | 978-3-658-39593-3Series ISSN 2625-3577 Series E-ISSN 2625-3615 |
| issn_series | 2625-3577 |
| copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Fachmedien Wies |
发表于 2025-3-21 19:53:46
