Minimizing bank liquidity risk: evidence from the Lehman crisis

Nikolas Topaloglou

Eurasian Business Review, 2015, vol. 5, issue 1, 23-44

Abstract: We propose a new framework for Asset-Liability Management of bank liquidity risk. We consider liquidity-risk diversification across asset and liability classes of US commercial banks and provide evidence of banks’ heterogeneous response to the Lehman crisis. Empirical results indicate that since the onset of the global financial crisis, small banks relied extensively on securities holdings to meet their liquidity needs and undo the ensuing tightening in funding conditions. During the deleveraging process that followed, large banks appeared relatively unconstrained by loan illiquidity and were able to scale down loan exposures more aggressively than smaller banks. Non- transaction deposits played a key role in boosting funding liquidity of larger banks during the Lehman crisis. In contrast, transaction deposits supported the funding position of small banks only after the crisis. Copyright Eurasia Business and Economics Society 2015

Keywords: Banking; Asset-liability; Liquidity risk; Put/cal efficient model; C14; C44; G11; G18; G21 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1007/s40821-014-0012-y (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:eurasi:v:5:y:2015:i:1:p:23-44

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40821

DOI: 10.1007/s40821-014-0012-y

Access Statistics for this article

Eurasian Business Review is currently edited by Marco Vivarelli

More articles in Eurasian Business Review from Springer, Eurasia Business and Economics Society Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().