Intraday liquidity modelling using statistical methods

IF 0.6 4区 经济学 Q4 ECONOMICS Argumenta Oeconomica Pub Date : 2023-01-01 DOI:10.15611/aoe.2023.1.08
Mária Vojtková, Patrik Mihalech
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Abstract

The correct approach to liquidity risk management in banks is essential for securing their financial stability. The position of liquidity risk among the rest of bank risks is specific because the negative outcome is not just a loss, but directly the bankruptcy of the institution. Such an occurrence might start a chain reaction and bring uncertainty into the entire financial system. This paper focused on one source of liquidity risk, i.e. management of liquidity throughout the day. The management of intraday liquidity is related to cash inflows and outflows occurring during the business day, their timing and settlement. In 2013, the BCBS published the document Monitoring tools for intraday liquidity management, often referred to by the regulatory authorities. It offers basic concepts of intraday liquidity monitoring and sketchily defines stress scenarios. The author suggests possibilities of how to perform intraday liquidity stress testing in a bank, which is often required by supervisors, even though no detailed approach or methodology as to how to proceed was introduced by the regulators. The research was carried out on anonymised data of cash inflows and outflows recorded on a central bank reserves account of one of the Slovak commercial banks. Both a base and four stress scenarios were developed and suggested for the better understanding of expected cashflows in standard conditions and during stress. The author’s aim was to develop scenarios in a non-traditional way by means of a basic and EWMA historical bootstrap simulations, respectively. Stress scenarios are supposed to simulate reputation crisis, disruption in RTGS payment system, increased deposit outflows and bank run. The purpose of the proposed intraday liquidity monitoring scenarios was to strengthen resilience not only for a concrete bank, but also the entire financial system. Intraday liquidity monitoring is a key factor in securing stability of the financial sector.
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利用统计方法建立日内流动性模型
正确的流动性风险管理方法对确保银行财务稳定至关重要。流动性风险在其他银行风险中的地位是特定的,因为其负面后果不仅仅是损失,而是直接导致机构破产。这种情况可能会引发连锁反应,给整个金融体系带来不确定性。本文主要关注流动性风险的一个来源,即全天的流动性管理。日内流动性的管理与工作日内发生的现金流入和流出、时间和结算有关。2013年,BCBS发布了监管机构经常提及的“日内流动性管理监控工具”文件。它提供了日内流动性监测的基本概念,并粗略地定义了压力情景。作者提出了如何在银行进行日内流动性压力测试的可能性,这通常是监管机构所要求的,尽管监管机构没有介绍如何进行的详细方法或方法。这项研究是根据一家斯洛伐克商业银行的中央银行储备帐户记录的现金流入和流出的匿名数据进行的。为了更好地理解标准条件下和压力期间的预期现金流量,我们开发了一个基本情景和四个压力情景。作者的目的是分别通过基本和EWMA历史引导模拟以非传统的方式开发场景。压力情景应该模拟声誉危机、RTGS支付系统中断、存款外流增加和银行挤兑。拟议的盘中流动性监测方案的目的不仅是为了加强具体银行的抗风险能力,也是为了加强整个金融体系的抗风险能力。盘中流动性监测是确保金融部门稳定的关键因素。
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