Modeling the Liquidity Gap in a Private Bank

Forecasting Liquidity at Risk of a Private Bank Using the Parametric Approach

Properly managing the supply and demand for liquidity of banks, as the largest financial institution in the money market, by reducing deposits and other liabilities alongside the growth of a portfolio of loans, other assets, and off-balance sheet items is a challenging issue in banking risk management. Therefore, to continue banking activities and avoid the risks of lack of liquidity, liquidity...

Modeling the operational risk in Iranian commercial banks: case study of a private bank

The Basel Committee on Banking Supervision from the Bank for International Settlement classifies banking risks into three main categories including credit risk, market risk, and operational risk. The focus of this study is on the operational risk measurement in Iranian banks. Therefore, issues arising when trying to implement operational risk models in Iran are discussed, and ...

Bank Liquidity and Bank Performance: Looking for a Nonlinear Nexus

Liquid assets are critical for banking operations. They guarantee avoiding liquidity risk and widens managerial decision options to invest in emerging profitable projects; however, holding extra liquidity entails opportunity costs. Accordingly, empirical literature does not provide a conclusive relationship between liquidity and profitability. The purpose of this research is to analyze the asym...

Liquidity in the Secondaries Private Equity Market

We provide evidence on the determinants of liquidity of private equity (PE) fund interests sold in the secondaries PE market and assess the impact of liquidity on pricing. PE fund liquidity is captured by the number of bids, variation in bids, and excess demand for a fund interest, all measured using auction data provided by a large advisory firm. We document that a PE fund interest is more liq...

Bank mergers, competition and liquidity

We provide a model of the impact of bank mergers on loan competition, individual reserve management and aggregate liquidity risk. Banks hold reserves against liquidity shocks, refinance in the interbank market and compete in a differentiated loan market. A merger creates an internal money market that induces financial cost advantages and may increase reserve holdings. We assess the liquidity ri...

Dynamic Shock Bank Liquidity Analysis