A new multi-factor risk model to evaluate funding liquidity risk of banks

Malick Fall and Jean-Laurent Viviani ()

The European Journal of Finance, 2016, vol. 22, issue 11, 985-1003

Abstract: The present paper investigates funding liquidity risk of banks. We present a new statistical multi-factor risk model leading to three new funding liquidity risk metrics, thanks to liquidity gap's probability distribution analysis. We test our model on a large sample composed of 593 US banking companies, this allows us to identify some stylized facts regarding the evolution of liquidity risk and its relationship with the size of banking companies. Our main motivation is to develop ‘the contractual maturity mismatch’ monitoring tool proposed within the Basel III reform.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:22:y:2016:i:11:p:985-1003

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DOI: 10.1080/1351847X.2014.996656

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