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Measurement of Liquidity Risk in Keshavarzi Bank (With Value at Risk Approach)

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  • Fatemeh Rafea
  • Abbas Alavirad

Abstract

One of the most critical competitive fields of companies and financial institutions and banks to provide optimal financial sources to survive in the turbulent business environment is financial decision making. It`s safe to say any decision should be taken to consider the risks and dangers associated with it. Of course specialized risk management is also one of the most important and fundamental fields that need financial institutions adaptation with new conditions to understand increasing complexity of the rules, technology and customers and it can act better. To make this issue happen, the risk measurement would be the banks and institutions today challenge. In this study the liquidity risk of one second rate branch of Keshavarzi Bank during 2008 to 2012years and with usage of the bank's financial statements, including a variety of deposit accounts, savings, revenue, cost and convenience, have been calculated. Writer hypothesis that significant of trends in the data research (liquidity risk) has been over these years. Should mention to demonstrate this method the value at risk has been used. The reasons for using this method are low cost and fast pace. The results show that this hypothesis along 2008, 2009, 2011 and 2012 years will be rejected and over the years 2008and 2009 are accepted. Generally liquidity risk trend towards an equilibrium (to reach a certain point). Finally, it is proposed that the risk would be tested for other branches as well in varying degrees.

Suggested Citation

  • Fatemeh Rafea & Abbas Alavirad, 2014. "Measurement of Liquidity Risk in Keshavarzi Bank (With Value at Risk Approach)," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(2), pages 74-87, February.
    • Handle: RePEc:hur:ijarbs:v:4:y:2014:i:2:p:74-87
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