Book Details
Format
Paperback / Softback
Book Series
BestMasters
ISBN-10
3658395923
ISBN-13
9783658395926
Edition
1st ed. 2022
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint
Springer Gabler
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Oct 21st, 2022
Print length
68 Pages
Product Classification:
Management & management techniquesFinancial services industry
Ksh 8,100.00
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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.
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