Menu Expand

Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen

Cite JOURNAL ARTICLE

Style

Pohl, M. Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen. Credit and Capital Markets – Kredit und Kapital, 43(2), 271-302. https://doi.org/10.3790/kuk.43.2.271
Pohl, Michael "Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen" Credit and Capital Markets – Kredit und Kapital 43.2, 2010, 271-302. https://doi.org/10.3790/kuk.43.2.271
Pohl, Michael (2010): Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen, in: Credit and Capital Markets – Kredit und Kapital, vol. 43, iss. 2, 271-302, [online] https://doi.org/10.3790/kuk.43.2.271

Format

Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen

Pohl, Michael

Credit and Capital Markets – Kredit und Kapital, Vol. 43 (2010), Iss. 2 : pp. 271–302

2 Citations (CrossRef)

Additional Information

Article Details

Author Details

Dr. Michael Pohl, Universität Basel, Wirtschaftswissenschaftliches Zentrum (WWZ), Abteilung Bankmanagement und Controlling, Petersgraben 51, CH-4003 Basel, Schweiz.

Cited By

  1. Securitisation and Its Impact on Financial Market Stability

    Jobst, Andreas A.

    SSRN Electronic Journal, Vol. (2003), Iss.

    https://doi.org/10.2139/ssrn.706502 [Citations: 0]
  2. Financing Patterns: Measurement Concepts and Empirical Results

    Hackethal, Andreas | Schmidt, Reinhard H.

    SSRN Electronic Journal , Vol. (2001), Iss.

    https://doi.org/10.2139/ssrn.254463 [Citations: 12]

Abstract

Quantifying Income-Related Liquidity Risk by Liquidity Gap Analysis

This article introduces the liquidity gap analysis as a comprehensive instrument for the quantification of structural liquidity risks at banks. It is demonstrated how to quantify the cash-flow-related liquidity risk by applying a Monte-Carlo-Simulation to the risk factors of a bank's cash flows.

Furthermore, the liquidity gap analysis can also be utilised to determine the income-related liquidity risk, which is of importance in case of a profitability-oriented risk management. Here, the liquidity balancing method becomes important. It cannot only quantify the income related liquidity risk caused by the volatility of credit spreads but also the income-related liquidity risk, which is caused by the cash-flow-related liquidity risk.