دانلود کتاب کمی سازی ریسک ساختاری نقدینگی در بانک ها

Under Pillar 2 of the Basel Accords an assessment and quantification of all material risks is required. The corresponding process is called Internal Capital Adequacy Assessment Process (ICAAP) and it determines the amount of riskbearing capacity the financial institution requires. 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 thesis proposes a model for the quantification of structural liquidity risk. The institution’s credit spread is identified as sole source of risk and its future development is modelled using Monte Carlo simulation. The underlying process of the credit spread evolution is a jump-diffusion process. The 99.9% quantile of the simulated distribution of terminal values is added on top of the swap rates to represent the stressed 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. The proposed model provides the basis for a more sophisticated model to quantify structural liquidity risk by mitigating identified weaknesses and implementing suggested improvements.