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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| _version_ | 1832566688284934144 |
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| author | Frednard Gideon Mark A. Petersen Janine Mukuddem-Petersen Bernadine De Waal |
| author_facet | Frednard Gideon Mark A. Petersen Janine Mukuddem-Petersen Bernadine De Waal |
| author_sort | Frednard Gideon |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-890674406aac477aae296c42b5bfbbae |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2012-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-890674406aac477aae296c42b5bfbbae2025-02-03T01:03:27ZengWileyJournal of Applied Mathematics1110-757X1687-00422012-01-01201210.1155/2012/743656743656Bank Liquidity and the Global Financial CrisisFrednard Gideon0Mark A. Petersen1Janine Mukuddem-Petersen2Bernadine De Waal3Department of Mathematics, Faculty of Science, University of Namibia, Private Bag 13301, Windhoek 9000, NamibiaResearch Division, Faculty of Commerce and Administration, North-West University, Private Bag x2046, Mmabatho 2735, South AfricaEconomics Division, Faculty of Commerce and Administration, North-West University, Private Bag x2046, Mmabatho 2735, South AfricaResearch Division, Faculty of Commerce and Administration, North-West University, Private Bag x2046, Mmabatho 2735, South AfricaWe 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.http://dx.doi.org/10.1155/2012/743656 |
| spellingShingle | Frednard Gideon Mark A. Petersen Janine Mukuddem-Petersen Bernadine De Waal Bank Liquidity and the Global Financial Crisis Journal of Applied Mathematics |
| title | Bank Liquidity and the Global Financial Crisis |
| title_full | Bank Liquidity and the Global Financial Crisis |
| title_fullStr | Bank Liquidity and the Global Financial Crisis |
| title_full_unstemmed | Bank Liquidity and the Global Financial Crisis |
| title_short | Bank Liquidity and the Global Financial Crisis |
| title_sort | bank liquidity and the global financial crisis |
| url | http://dx.doi.org/10.1155/2012/743656 |
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