title: Measurement of liquidity risk of credit institutions on the example of Russian banking system
metadata.name: dc.contributor.author
metadata.value: Dedova, Mariia S.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Malakhov, Dmitry I.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Pilnik, Nikolai P.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2017-05-18T11:52:01Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2017-05-18T11:52:01Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2017-03
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: Dedova M. S., Malakhov D. I., Pilnik N. P. Measurement of liquidity risk of credit institutions on the example of Russian banking system. St Petersburg University Journal of Economic Studies, 2017, vol. 33, issue 1, pp. 78–103.
metadata.lang: en_GB
metadata.name: dc.identifier.other
metadata.value: 10.21638/11701/spbu05.2017.105
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/6343
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: The lack of liquidity in the banking sector was a key factor in the deployment of the latest financial crisis, but at the moment the authors do not know indicators to measure the liquidity risk for the banking system as a whole. In this paper, we propose an indicator that allows you to measure the adequacy of liquidity. Its construction is based on the separation of accounts, bank balance for liquid and illiquid based on a comparison of statistics intermonth flows and stocks at the end of the month. We show that for the Russian banking system this indicator will display the instability of the system, associated with a lack of liquidity, as well as a leading indicator for the banking crises of 2008 and 2014’s. The question of stability of distribution of the banks on this indicator during the crisis in the Russian economy is researched. Also in the work it is shown that the change in the time horizon in the calculation of the liquidity of the proposed definition of the indicator is a measure not only of the current liquidity risk, but the risk of instant liquidity and quality of funding.
  Refs 18. Figs 11. Tables 2.
metadata.lang: en_GB
metadata.name: dc.description.sponsorship
metadata.value: The study was carried out with the financial support of the Russian Science Foundation (project No. 14-11-00432).
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: ru
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: St Petersburg University Journal of Economic Studies;Volume 33; Issue 1
metadata.lang: -
metadata.name: dc.subject
metadata.value: Russia’s banking system
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: assets
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: liabilities
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: turnover ratio
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: duration
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: banking system crisis
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Measurement of liquidity risk of credit institutions on the example of Russian banking system
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 05-Dedova.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/6343/1/05-Dedova.pdf
resources.format: Adobe PDF
resources.size: 1,33 MB