Effective risk management liquidity and general standards of liquidity
Само за регистроване кориснике
2013
Чланак у часопису (Објављена верзија)
Метаподаци
Приказ свих података о документуАпстракт
Liquidity risk is the risk of adverse effects (unexpected losses) on financial results and equity due to bank’s inability to properly fulfill its obligations. Risk management is very important, given that the insolvency of one bank can have far-reaching effects on the entire financial system and the global environment, as confirmed by the crisis in the U.S. mortgage market, which began by subprime loans in 2007 and then spilled over to the entire world. Many debt holders refused or were unable to stop their investments creating huge problems of funding for financial institutions. These problems are exacerbated their difficulties to sell their assets to secure financial resources. This paper analyzes the sources of liquidity, including liquidity risk and asset liquidity risk financing (funding). Liquidity of assets is analyzed as the ability to generate cash, depending on market conditions, spread (bid-ask price) and the impact of the market, and the time horizon of liquidation, and the... value at risk (VaR) is extended to VaR adjusted liquidity. Funding liquidity risk analysis, based on an assessment of the basic structure of liabilities and off-balance sheet items, using gap analysis, emphasizes the importance of contingency planning functions financing, practical experiences of managing liquidity risk and introduction of general-Basel III liquidity.
Кључне речи:
liquidity / liquidity of assets / spread / funding liquidity risk / financing gap / liquidity risk management and Basel IIIИзвор:
TTEM.Technics technologies education management : journal of society for development of teaching and business processes in new net environment in BiH, 2013, 8, 4, 1604-1611Издавач:
- Sarajevo : DRUNPP
Институција/група
JakovTY - JOUR AU - Jednak, Jovo AU - Jednak, Dejan AU - Miloševic, Goran AU - Milašinović, Srđan AU - Korajlić, Nedžad PY - 2013 UR - https://jakov.kpu.edu.rs/handle/123456789/1600 AB - Liquidity risk is the risk of adverse effects (unexpected losses) on financial results and equity due to bank’s inability to properly fulfill its obligations. Risk management is very important, given that the insolvency of one bank can have far-reaching effects on the entire financial system and the global environment, as confirmed by the crisis in the U.S. mortgage market, which began by subprime loans in 2007 and then spilled over to the entire world. Many debt holders refused or were unable to stop their investments creating huge problems of funding for financial institutions. These problems are exacerbated their difficulties to sell their assets to secure financial resources. This paper analyzes the sources of liquidity, including liquidity risk and asset liquidity risk financing (funding). Liquidity of assets is analyzed as the ability to generate cash, depending on market conditions, spread (bid-ask price) and the impact of the market, and the time horizon of liquidation, and the value at risk (VaR) is extended to VaR adjusted liquidity. Funding liquidity risk analysis, based on an assessment of the basic structure of liabilities and off-balance sheet items, using gap analysis, emphasizes the importance of contingency planning functions financing, practical experiences of managing liquidity risk and introduction of general-Basel III liquidity. PB - Sarajevo : DRUNPP T2 - TTEM.Technics technologies education management : journal of society for development of teaching and business processes in new net environment in BiH T1 - Effective risk management liquidity and general standards of liquidity VL - 8 IS - 4 SP - 1604 EP - 1611 UR - https://hdl.handle.net/21.15107/rcub_jakov_1600 ER -
@article{ author = "Jednak, Jovo and Jednak, Dejan and Miloševic, Goran and Milašinović, Srđan and Korajlić, Nedžad", year = "2013", abstract = "Liquidity risk is the risk of adverse effects (unexpected losses) on financial results and equity due to bank’s inability to properly fulfill its obligations. Risk management is very important, given that the insolvency of one bank can have far-reaching effects on the entire financial system and the global environment, as confirmed by the crisis in the U.S. mortgage market, which began by subprime loans in 2007 and then spilled over to the entire world. Many debt holders refused or were unable to stop their investments creating huge problems of funding for financial institutions. These problems are exacerbated their difficulties to sell their assets to secure financial resources. This paper analyzes the sources of liquidity, including liquidity risk and asset liquidity risk financing (funding). Liquidity of assets is analyzed as the ability to generate cash, depending on market conditions, spread (bid-ask price) and the impact of the market, and the time horizon of liquidation, and the value at risk (VaR) is extended to VaR adjusted liquidity. Funding liquidity risk analysis, based on an assessment of the basic structure of liabilities and off-balance sheet items, using gap analysis, emphasizes the importance of contingency planning functions financing, practical experiences of managing liquidity risk and introduction of general-Basel III liquidity.", publisher = "Sarajevo : DRUNPP", journal = "TTEM.Technics technologies education management : journal of society for development of teaching and business processes in new net environment in BiH", title = "Effective risk management liquidity and general standards of liquidity", volume = "8", number = "4", pages = "1604-1611", url = "https://hdl.handle.net/21.15107/rcub_jakov_1600" }
Jednak, J., Jednak, D., Miloševic, G., Milašinović, S.,& Korajlić, N.. (2013). Effective risk management liquidity and general standards of liquidity. in TTEM.Technics technologies education management : journal of society for development of teaching and business processes in new net environment in BiH Sarajevo : DRUNPP., 8(4), 1604-1611. https://hdl.handle.net/21.15107/rcub_jakov_1600
Jednak J, Jednak D, Miloševic G, Milašinović S, Korajlić N. Effective risk management liquidity and general standards of liquidity. in TTEM.Technics technologies education management : journal of society for development of teaching and business processes in new net environment in BiH. 2013;8(4):1604-1611. https://hdl.handle.net/21.15107/rcub_jakov_1600 .
Jednak, Jovo, Jednak, Dejan, Miloševic, Goran, Milašinović, Srđan, Korajlić, Nedžad, "Effective risk management liquidity and general standards of liquidity" in TTEM.Technics technologies education management : journal of society for development of teaching and business processes in new net environment in BiH, 8, no. 4 (2013):1604-1611, https://hdl.handle.net/21.15107/rcub_jakov_1600 .