Liquidity Stress-Tester: Do Basel III and Unconventional Monetary Policy Work?

End, Jan Willem van den; Willem, Jan

doi:10.2139/ssrn.1950146

Cited by 3 publications

(1 citation statement)

References 15 publications

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“…AMDs may pertain to cash, inventory, account receivable, and account receivable management decisions (Belt & Smith, 1991; Kumari & Sar, 2016). Authors have quoted that liquidity position of firm shows the risk associated with financial crises (Vanden, 2010). Keeping in mind the above arguments regarding mediating role of agent’s RISKP in firm’s decision-making under OVERCB, it is worthwhile to mention that improper firm decisions could lead them toward indifferent outcomes.…”

Section: Literature Reviewmentioning

confidence: 99%

Behavioral Cost of Managerial Decisions Under Risk Perception and Culture: A Comparative Study Between the United States and Pakistan

2021

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The study is an attempt to find the reasons for biased behavior of overconfident managers while making financial decisions on behalf of shareholders. The study further seeks the ways to resolve the problems faced by firms due to such biased decision-making. For this purpose, quantitative research method is used to uncover the new information for better understanding of study. The comparative analysis has been done through survey-based data collected from executives/managers of firms listed on Pakistan Stock Exchange and New York Stock Exchange. The results indicate that overconfidence bias plays a significant role in managerial decisions for Pakistan compared with U.S. managers. This study applied mediation and moderation tests and found the significant mediating role of risk perception for overconfidence bias and manager decisions. The study further checked moderating role of cultural value, that is, the role of uncertainty avoidance between overconfidence bias of managers and risk perception. Hence, the role of cognitive biases and bounded rationality is undeniable for managerial decision-making and ultimate behavioral cost that firms have to pay due to undesired outcomes of situations. Consequently, this study has reached to extract the hidden facts and solutions to the observed issues for developed and emerging economy’s firms through cultural differences.

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Section: Literature Reviewmentioning

confidence: 99%

Behavioral Cost of Managerial Decisions Under Risk Perception and Culture: A Comparative Study Between the United States and Pakistan

2021

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The relationship between liquidity risk and probability of default: Evidence from the Euro area

Cucinelli¹

2013

RGC

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The main objective of this study is to analyze the type of relationship that exists between liquidity risk - measured with the liquidity coverage ratio and the net stable funding ratio - and the probability of default. The sample is composed of 575 listed and non-listed Eurozone banks and the methodology applied in the analysis is OLS regression based on panel data. The results show a relationship only between the liquidity coverage ratio and credit rating, while there is no relationship between the longterm liquidity measure and probability of default. In relation to the crisis, the results highlight divergent bank liquidity management only in the short time horizon.

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Модель Стрес-Тестування Ризику Ліквідності Банків В Україні

Краснова,

Громницька,

Васьківська

2023

ПІ

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Глобальна фінансова криза 2007-2009 рр., що стала найглибшою і призвела до колосальних збитків, яких не спостерігалось з часів Великої депресії стала тригером для світу, показавши, наскільки важлива роль ризику ліквідності в забезпеченні стабільності банківської системи та виявила низку недоліків у його регулюванні. Необхідно розробляти нові та вдосконалювати існуючі інструменти захисту банківської системи від негативного впливу ризику ліквідності. Одним із таких інструментів виявлення кризових явищ стало стрес-тестування банків, що було запропоновано Базельським комітетом з банківського нагляду. Стрес-тести дозволяють оцінити рівень необхідних фінансових резервів банкам за умов реалізації негативних макроекономічних сценаріїв та допомогти виявити слабкі місця як банків, так і банківської системи загалом. Стрес-тестування ризику ліквідності ще недостатньо досліджене в Україні, тому адаптація моделей зарубіжних науковців та центробанків є перспективним напрямком у вирішенні ключових проблеми аналізу фінансової стійкості банківських установ.

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Liquidity Stress-Tester: Do Basel III and Unconventional Monetary Policy Work?

Cited by 3 publications

References 15 publications

Behavioral Cost of Managerial Decisions Under Risk Perception and Culture: A Comparative Study Between the United States and Pakistan

Behavioral Cost of Managerial Decisions Under Risk Perception and Culture: A Comparative Study Between the United States and Pakistan

The relationship between liquidity risk and probability of default: Evidence from the Euro area

Модель Стрес-Тестування Ризику Ліквідності Банків В Україні

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