Arbeitspapier

Measuring systemic funding liquidity risk in the Russian banking system

The 2007-2009 global financial crisis demonstrated the need for effective systemic risk measurement and regulation. This paper proposes a straightforward approach for estimat-ing the systemic funding liquidity risk in a banking system and identifying systemically critical banks. Focusing on the surplus of highly liquid assets above due payments, we find systemic funding liquidity risk can be expressed as the distance of the aggregate liquidity surplus from its current level to its critical value. Calculations are performed using simu-lated distribution of the aggregate liquidity surplus determined using Independent Compo-nent Analysis. The systemic importance of banks is then assessed based on their contribu-tion to variation of the liquidity surplus in the system. We apply this methodology to the case of Russia, an emerging economy, to identify the current level of systemic funding li-quidity risk and rank banks based on their systemic relevance.

ISBN
978-952-462-743-6
Sprache
Englisch

Erschienen in
Series: BOFIT Discussion Papers ; No. 12/2012

Klassifikation
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Socialist Systems and Transitional Economies: Other
Thema
systemic risk
liquidity surplus
banking
Russia

Ereignis
Geistige Schöpfung
(wer)
Andrievskaya, Irina
Ereignis
Veröffentlichung
(wer)
Bank of Finland, Institute for Economies in Transition (BOFIT)
(wo)
Helsinki
(wann)
2012

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Andrievskaya, Irina
  • Bank of Finland, Institute for Economies in Transition (BOFIT)

Entstanden

  • 2012

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