Essays about: "Liquidity risk in bank"

Showing result 1 - 5 of 34 essays containing the words Liquidity risk in bank.

  1. 1. A Study Evaluating the Liquidity Risk for Non-Maturity Deposits at a Swedish Niche Bank

    University essay from KTH/Matematisk statistik

    Author : Markus Hilmersson; [2020]
    Keywords : Financial mathematics; time series analysis; risk management; risk analysis; non-maturing deposits; SARIMA; SARIMAX; BCBS; IRRBB; Finansiell matematik; tidsserieanalys; riskhantering; riskanalys; Icke-tidsbunden inlåning; SARIMA; SARIMAX; BCBS; IRRBB;

    Abstract : Since the 2008 financial crisis, the interest for the subject area of modelling non-maturity deposits has been growing quickly. The area has been widely analysed from the perspective of a traditional bank where customers foremost have transactional and salary deposits. However, in recent year the Swedish banking sector has become more digitized. READ MORE

  2. 2. Modeling of non-maturing deposits

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Fredrik Stavrén; Nikita Domin; [2019]
    Keywords : Financial mathematics; time series analysis; replicating portfolio; risk management; risk analysis; econometric anaylsis; non-maturing deposits; SARIMA; Random forest regression; EBA; BCBS; Finansiell matematik; tidsserieanalys; replikeringsportfölj; riskhantering; riskanalys; Ekonometrisk analys; Icke-tidsbunden inlåning; ARIMA; SARIMA; SARIMAX; Random Forest Regression; EBA; BCBS;

    Abstract : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. READ MORE

  3. 3. Bank capital and liquidity creation. An empirical study of the Scandinavian Banks

    University essay from Göteborgs universitet/Graduate School

    Author : Awais Shah; Said Lahiani; [2018-07-04]
    Keywords : liquidity creation; capital requirements; Basel III regulations; big and small banks; credit intermediation; Scandinavian countries;

    Abstract : MSc in Finance.... READ MORE

  4. 4. Internal Pricing and the Effect of Liquidity Requirements : A qualitative review of Swedish banks

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Sara Matilda Scheibenpflug; [2018]
    Keywords : Funds Transfer Pricing; Internal Pricing; Liquidity Cost Allocation; Basel III; Liquidity Coverage Ratio; Net Stable Funding Ratio; Internprissättning av Finansiering; Internprissättning; Allokering av Likviditetskostnad; Basel III; Likviditetstäckningsgrad; Stabil Nettofinansieringsgrad;

    Abstract : The fundamental business model of banks is based on receiving short-term deposits and giving long-term loans which means that active banks are naturally subject to liquidity risk. During the last financial crisis poor liquidity risk management was seen as one of the main causes which has led to an increased focus on the management of liquidity risk and the introduction of the first minimum requirements for liquidity in banks, through Basel III. READ MORE

  5. 5. Costs and benefits of increased regulation : Empirical evidence on effects of Basel III capital ratios on Scandinavian banks

    University essay from Umeå universitet/Företagsekonomi

    Author : John Stattin; [2018]
    Keywords : ;

    Abstract : Ever since the financial crisis, there have been calls for increased regulation of the banking industry. The Basel Accord took immediate action and introduced the third version of their Basel framework shortly after the crisis hit, increasing demands on bank capital and liquidity. READ MORE