Modelling of Non-Maturing Liabilities in Survival Period for Liquidity Risk Management Purposes
Modelling of Non-Maturing Liabilities in Survival Period for Liquidity Risk Management Purposes

Author(s): Patrik Mihalech
Subject(s): Social Sciences, Economy
Published by: Udruženje ekonomista i menadžera Balkana
Keywords: Liquidity risk; Bootstrap simulation; Non-maturing liabilities
Summary/Abstract: Correct assessment of banking risks is essential for a healthy banking system and the development of economy. This paper focuses on liquidity risk management, more specifically on modelling of non-maturing liabilities. Liquidity risk emerges as a consequence of uncertainty in terms of future cash inflows and outflows. Due to the fact, that result of a liquidity crisis is not only loss, but directly bankruptcy of financial institutions, liquidity risk belongs among major banking risks. This paper aims to project future cash outflows emerging from corporate deposit accounts without contractual maturity with a focus on stress outflows, in case of crisis. Bootstrap simulation techniques are introduced and performed on anonymized historical time series of cumulative corporate balances of Slovak commercial banks. Stress scenario based on analysis is proposed as entry to the calculation of broader liquidity Survival period indicator.

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