Theory and Regulation of Liquidity Risk Management in Banking
Int. J. Risk Assessment and Management, Vol. 19, Nos. 1/2, 2016, pp.4–21.
Posted: 25 Jan 2016
Date Written: January 24, 2016
Abstract
The paper analyses the different approaches to measure the impact of funding and market liquidity risk in the economics and management of banks. The paper provides also an analysis of the organisational implications of the asset and liability management perspective of liquidity risk. Liquidity risk does not need to be covered by equity but by an adequate volume of liquid assets and highly liquid securities. This is the reason why the regulation of the liquidity risk in banking is focused on liquidity ratio-based financial constraints.
Keywords: liquidity risk, liquidity ratios, risk management, stress test, financial regulation, banking supervision, A&L management, banking, financial crisis, Basel 3
JEL Classification: G01, G20, G21, G32, M10, M20, M21
Suggested Citation: Suggested Citation
Enzo Scannella (Contact Author)
University of Palermo - d/SEAS ( email )
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Italy
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