Liquidity Stress Testing in Asset Management, Part 1. Modeling the Liability Liquidity Risk
نویسندگان
چکیده
منابع مشابه
Effect of Asset and Liability management on Liquidity risk of Iranian Banks
In financial markets, the main component of risk management is liquidity risk. Asset and Liability Management (ALM) strategy is concerned with managing all risks. Asset and liability management seeks to manage liquidity risk, which refers to both the liquidity of markets and which assets can be translated into cash. The liquidity is importantly affected by the management of banks’ balance sheet...
متن کاملAsset-Liability Management and Liquidity Trap (Case Study: Credit Institute for Development)
An increase in the ability to timely meet commitments which will be due in the near future is a prerequisite for the survival of banks. Hence, the correct and optimal management of liquidity is an important affair that banks should perform. The present study aimed mainly to test the management of asset-liability and liquidity trap in the Credit Institute for Development. The research is applied...
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We study the relation between the liquidity of the firm’s assets and the liquidity of financial claims on the assets, thereby linking corporate finance decisions to stock liquidity. Our model highlights an ambiguous relationship. While greater asset liquidity reduces uncertainty regarding valuation of assets-in-place, it increases future investments and the associated uncertainty. The model sho...
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One of the most important lessons learned from the recent financial crisis is that liquidity risk is fundamentally different from other forms of risk such as market risk and credit risk. Liquidity risk, viewed earlier as a second order risk, is now considered a major risk class. The crisis showed us how quickly a risk which starts as a market or credit risk transforms into a liquidity event and...
متن کاملAsset Liquidity, Debt Valuation, and Credit Risk
This paper presents a structural debt valuation model that links default probabilities and recovery rates of corporate securities to asset market liquidity. This linking is advantageous for risk management and regulation of financial institutions in that it provides a method of calibrating the relationship between probability of default (PD) and loss given default (LGD). Two innovations in the ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3749184