Risk-adjusted pricing of bank’s assets based on cash flow matching matrix
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Meilan Yan & Maximilian J. B. Hall & Paul Turner, 2014.
"Estimating Liquidity Risk Using The Exposure‐Based Cash‐Flow‐At‐Risk Approach: An Application To The Uk Banking Sector,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(3), pages 225-238, July.
- Meilin Yan & Maximilian J. B. Hall & Paul Turner, 2011. "Estimating Liquidity Risk Using The Exposure-Based Cash-Flow-at-Risk Approach: An Application To the UK Banking Sector," Discussion Paper Series 2011_06, Department of Economics, Loughborough University, revised Nov 2011.
- de Haan, Leo & van den End, Jan Willem, 2013. "Bank liquidity, the maturity ladder, and regulation," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3930-3950.
- de Haan, Leo & van den End, Jan Willem, 2013.
"Bank liquidity, the maturity ladder, and regulation,"
Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3930-3950.
- Leo de Haan & Jan Willem van den End, 2012. "Bank liquidity, the maturity ladder, and regulation," DNB Working Papers 346, Netherlands Central Bank, Research Department.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Voloshyn, Ihor & Lubich, Oleksandr, 2014. "Методологічні Проблеми Фінансового Управління В Банківському Секторі України: Уроки Кризи [Methodological problems of financial management in Ukraine's banking sector: lessons of the crisis]," MPRA Paper 60982, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Pierluigi Bologna, 2017.
"Banks’ maturity transformation: risk, reward, and policy,"
Temi di discussione (Economic working papers)
1159, Bank of Italy, Economic Research and International Relations Area.
- Pierluigi Bologna, 2018. "Banks’ Maturity Transformation: Risk, Reward, and Policy," IMF Working Papers 2018/045, International Monetary Fund.
- Bologna, Pierluigi, 2018. "Banks’ maturity transformation: risk, reward, and policy," ESRB Working Paper Series 63, European Systemic Risk Board.
- Meriläinen, Jari-Mikko & Junttila, Juha, 2020. "The relationship between credit ratings and asset liquidity: Evidence from Western European banks," Journal of International Money and Finance, Elsevier, vol. 108(C).
- Adi Mordel, 2018. "Prudential Liquidity Regulation in Banking-A Literature Review," Discussion Papers 18-8, Bank of Canada.
- Reinhardt, Dennis & Reynolds, Stephen & Sowerbutts, Rhiannon & van Hombeeck, Carlos, 2023.
"Quality is our asset: The international transmission of liquidity regulation,"
Journal of Banking & Finance, Elsevier, vol. 154(C).
- Reinhardt, Dennis & Reynolds, Stephen & Sowerbutts, Rhiannon & van Hombeeck, Carlos, 2020. "Quality is our asset: the international transmission of liquidity regulation," Bank of England working papers 860, Bank of England.
- Bonner, Clemens, 2015. "Preferential Regulatory Treatment and Banks' Demand for Government Bonds," Other publications TiSEM 049e0e5e-f57b-4ef8-ab8b-b, Tilburg University, School of Economics and Management.
- Voloshyn, Ihor & Voloshyn, Mykyta, 2013. "Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach," MPRA Paper 61562, University Library of Munich, Germany.
- Xuan Wang, 2020. "A Macro-Financial Perspective to Analyse Maturity Mismatch and Default," Tinbergen Institute Discussion Papers 20-064/IV, Tinbergen Institute.
- Van Dan Dang, 2020. "Bank funding and liquidity in an emerging market," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 13(3), pages 256-272.
- Jan Henrik Wosnitza, 2017. "The optimal trade-off between interest rate risk and annual return of bond ladders," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 469-489, November.
- Tian, Shu & Park, Donghyun & Cagas, Marie Anne, 2021. "Bond market development and bank stability: Evidence from emerging markets," Research in International Business and Finance, Elsevier, vol. 58(C).
- Simona Galletta & Sebastiano Mazzù, 2019. "Liquidity Risk Drivers and Bank Business Models," Risks, MDPI, vol. 7(3), pages 1-18, August.
- Sanjay Sehgal & Tarunika Jain Agrawal, 2017. "Bank Risk Factors and Changing Risk Exposures in the Pre- and Post-financial Crisis Periods: An Empirical Study for India," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 42(4), pages 356-378, November.
- Banerjee, Ryan N. & Mio, Hitoshi, 2018.
"The impact of liquidity regulation on banks,"
Journal of Financial Intermediation, Elsevier, vol. 35(PB), pages 30-44.
- Ryan N. Banerjee & Hitoshi Mio, 2014. "The Impact of Liquidity Regulation on Banks," BIS Working Papers 470, Bank for International Settlements.
- Banerjee, Ryan & Mio, Hitoshi, 2015. "The impact of liquidity regulation on banks," Bank of England working papers 536, Bank of England.
- repec:tiu:tiucen:2012075 is not listed on IDEAS
- Michelangeli, Valentina & Piersanti, Fabio Massimo, 2023.
"Interdependence between assets and liabilities in the banking system: Changes in the last two decades,"
Finance Research Letters, Elsevier, vol. 58(PA).
- Valentina Michelangeli & Fabio Massimo Piersanti, 2023. "Interdependence between assets and liabilities in the banking system: changes in the last two decades," Questioni di Economia e Finanza (Occasional Papers) 752, Bank of Italy, Economic Research and International Relations Area.
- Ananou, Foly & Chronopoulos, Dimitris K. & Tarazi, Amine & Wilson, John O.S., 2021.
"Liquidity regulation and bank lending,"
Journal of Corporate Finance, Elsevier, vol. 69(C).
- Foly Ananou & Amine Tarazi & John O.S Wilson, 2020. "Liquidity Regulation and Bank Lending," Working Papers hal-02516749, HAL.
- Foly Ananou & Dimitris K Chronopoulos & Amine Tarazi & John O S Wilson, 2021. "Liquidity Regulation and Bank Lending," Working Papers hal-03259305, HAL.
- Amine Tarazi & Foly Ananou & John O.S Wilson & D. Chronopoulos & Chronopoulos D, 2021. "Liquidity Regulation and Bank Lending," Post-Print hal-03542911, HAL.
- Foly Ananou & Dimitris Chronopoulos & Amine Tarazi & John O.S. Wilson, 2021. "Liquidity regulation and bank lending," Post-Print hal-04881054, HAL.
- Matthias Nnadi & Vachiraporn Surichamorn & Ranadeva Jayasekera & Yacine Belghitar, 2022. "Empirical analysis of debt maturity, cash holdings and firm investment in developing economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3345-3372, July.
- Jennie Bai & Arvind Krishnamurthy & Charles†Henri Weymuller, 2018.
"Measuring Liquidity Mismatch in the Banking Sector,"
Journal of Finance, American Finance Association, vol. 73(1), pages 51-93, February.
- Bai, Jennie & Krishnamurthy, Arvind & Weymuller, Charles-Henri, 2015. "Mesuring Liquidity Mismatch in the Banking Sector," Research Papers 3278, Stanford University, Graduate School of Business.
- Arvind Krishnamurthy & Jennie Bai & Charles-Henri Weymuller, 2016. "Measuring Liquidity Mismatch in the Banking Sector," NBER Working Papers 22729, National Bureau of Economic Research, Inc.
- Ly, Kim Cuong & Shimizu, Katsutoshi, 2018. "Funding liquidity risk and internal markets in multi-bank holding companies: Diversification or internalization?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 77-89.
- Roberts, Daniel & Sarkar, Asani & Shachar, Or, 2023.
"Liquidity regulations, bank lending and fire-sale risk,"
Journal of Banking & Finance, Elsevier, vol. 156(C).
- Daniel Roberts & Asani Sarkar & Or Shachar, 2018. "Liquidity Regulations, Bank Lending, and Fire-Sale Risk," Staff Reports 852, Federal Reserve Bank of New York.
More about this item
Keywords
asset pricing; funding matrix; economic capital; cash flow at risk; risk-adjusted return on capital (RAROC); cash flow matching; interest rate; asset; liability;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2015-02-05 (Banking)
- NEP-RMG-2015-02-05 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:61611. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.