Intraday liquidity modelling using statistical methods

The correct approach to liquidity risk management in banks is essential for securing their financial stability. position of among the rest bank risks specific because negative outcome not just a loss, but directly bankruptcy institution. Such an occurrence might start chain reaction and bring uncertainty into entire system. This paper focused on one source risk, i.e. throughout day. intraday related cash inflows outflows occurring during business day, timing settlement. In 2013, BCBS published document Monitoring tools management, often referred by regulatory authorities. It offers basic concepts monitoring sketchily defines stress scenarios. author suggests possibilities how perform testing bank, which required supervisors, even though no detailed or methodology as proceed was introduced regulators. research carried out anonymised data recorded central reserves account Slovak commercial banks. Both base four scenarios were developed suggested better understanding expected cashflows standard conditions stress. author’s aim develop non-traditional way means EWMA historical bootstrap simulations, respectively. Stress are supposed simulate reputation crisis, disruption RTGS payment system, increased deposit run. purpose proposed strengthen resilience only concrete also Intraday key factor stability sector.