LIQUIDITY RISK MANAGEMENT IN CRISIS CONDITIONS

Mutu Simona () and Matis Eugenia
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Mutu Simona: Universitatea Babes Bolyai, Facultatea de Stiinte Economice si Gestiunea Afacerilor
Matis Eugenia: Universitatea Crestina Dimitrie Cantemir, Facultatea de Stiinte Economice

Annals of Faculty of Economics, 2010, vol. 1, issue 2, 760-765

Abstract: In order to measure the liquidity risk we have developed an analysis model, based on stress-testing scenarios, that shows the ability of the bank to face different types of liquidity crisis. The scenarios were designed for each balance sheet position for assets and liabilities: Ordinary Course of Business, Name Crisis (Mild Name Crisis and Severe Name Crisis), Market Crisis (Mild Market Crisis and Severe Market Crisis) that reflects banking sector crisis and persistent recession. This offers a dynamic image about the bank's liquidity in report with different types of liquidity scenarios, but also about the time horizon of analyze. The research also wants to highlight the most significant features to consider in order to implement an effective liquidity risk management and to achieve a more integrated supervisory framework.

Keywords: liquidity risk; name crisis; market crisis; liquidity limits; gap analysis (search for similar items in EconPapers)
JEL-codes: C63 G01 G21 G32 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ora:journl:v:1:y:2010:i:2:p:760-765

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