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A new multi-factor risk model to evaluate funding liquidity risk of banks

Abstract : The present paper investigates funding liquidity risk of banks. We present a new statistical multi-factor risk model leading to three new funding liquidity risk metrics, thanks to liquidity gap's probability distribution analysis. We test our model on a large sample composed of 593 US banking companies, this allows us to identify some stylized facts regarding the evolution of liquidity risk and its relationship with the size of banking companies. Our main motivation is to develop ‘the contractual maturity mismatch’ monitoring tool proposed within the Basel III reform.
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https://halshs.archives-ouvertes.fr/halshs-01141333
Contributor : Naïla Louise-Rose <>
Submitted on : Saturday, April 11, 2015 - 5:06:23 PM
Last modification on : Thursday, January 14, 2021 - 1:21:05 PM

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Malick Fall, Jean-Laurent Viviani. A new multi-factor risk model to evaluate funding liquidity risk of banks. European Journal of Finance, Taylor & Francis (Routledge), 2015, 22 (11), pp.985-1003. ⟨10.1080/1351847X.2014.996656⟩. ⟨halshs-01141333⟩

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