Study on the Liquidity Risk of Deposit and Loan Maturity Mismatch in Commercial Banks

DOI

10.2991/febm-16.2016.28How to use a DOI?

Keywords

commercial bank; maturity mismatch; liquidity risk; risk management; liquidity gap

Abstract

Commercial banks must maintain a certain degree of mismatch to improve the efficiency of the use of money, but excessive maturity mismatch may cause liquidity risk. Based on that, this paper introduced the latest rules of the Basel , analysis the term structure of assets and liabilities and the liquidity situation. We create a model of liquidity gap to give evaluation of the liquidity risk, referring to the requirements of the net stable funding ratio. According to the result of liquidity risk measurement, combining with the relevant conclusions of qualitative analysis, this paper gives some advices for commercial banks' liquidity management.

Copyright

© 2016, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Baosheng Shi
AU  - Huangjin Liu
PY  - 2016/11
DA  - 2016/11
TI  - Study on the Liquidity Risk of Deposit and Loan Maturity Mismatch in Commercial Banks
BT  - Proceedings of the First International Conference Economic and Business Management 2016
PB  - Atlantis Press
SP  - 181
EP  - 186
SN  - 2352-5428
UR  - https://doi.org/10.2991/febm-16.2016.28
DO  - 10.2991/febm-16.2016.28
ID  - Shi2016/11
ER  -