Quantification of structural liquidity risk in banks
Auteur :
Wieser, Christoph
Éditeur :
Springer Fachmedien Wiesbaden
ISBN :
9783658395926
Date de publication :
21 oct. 2022
Dimensions :
21,0 x 14,8 cm
Langue :
Anglais
Pays d'origine :
Allemagne
At some point the long-term loans will require refinancing and the institution is at risk of an adverse development of refinancing costs.This book proposes a model for the quantification of structural liquidity risk and describes the underlying methodology and assumptions for stressing the refinancing costs.