Bank Liquidity and the Global Financial Crisis
We investigate the stochastic dynamics of bank liquidity parameters such as liquid assets and nett cash outflow in relation to the global financial crisis. These parameters enable us to determine the liquidity coverage ratio that is one of the metrics used in ratio analysis to measure bank liquidity...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2012-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2012/743656 |
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| Summary: | We investigate the stochastic dynamics of bank liquidity parameters such as
liquid assets and nett cash outflow in relation to the global financial crisis. These parameters
enable us to determine the liquidity coverage ratio that is one of the metrics used in ratio
analysis to measure bank liquidity. In this regard, numerical results show that bank behavior related to liquidity was highly procyclical during the financial crisis. We also consider a
theoretical-quantitative approach to bank liquidity provisioning. In this case, we provide an
explicit expression for the aggregate liquidity risk when a locally risk-minimizing strategy is
utilized. |
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| ISSN: | 1110-757X 1687-0042 |