Skorygowany o ryzyko kredytowe pomiar płynności banku jako narzędzie wsparcia procesu zarządzania stabilnością finansową
The article focuses on the evaluation of selected methods of quantifying liquidity risk which is affected by a broad spectrum of risk factors, including in particular the credit risk. The following forms of impact of credit risk on liquidity risk were taken into consideration: (1) problems related...
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| Format: | Article |
| Language: | English |
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Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
2014-11-01
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| Series: | Problemy Zarządzania |
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| Online Access: | https://pz.wz.uw.edu.pl/resources/html/article/details?id=166859 |
| _version_ | 1798000616412282880 |
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| author | Paweł Niedziółka |
| author_facet | Paweł Niedziółka |
| author_sort | Paweł Niedziółka |
| collection | DOAJ |
| description | The article focuses on the evaluation of selected methods of quantifying liquidity risk which is affected
by a broad spectrum of risk factors, including in particular the credit risk. The following forms of impact
of credit risk on liquidity risk were taken into consideration: (1) problems related to the influence of the
deterioration of the quality of bank’s loan portfolio, resulting in an increase in liquidity gap and a need
to convert liquid assets into cash or obtain additional external financing, (2) an increase in credit risk
of the bank (passive credit risk) resulting in disturbances in the process of obtaining external financing
and an increase of its cost, (3) an increase in credit risk of issuers of securities until now classified
as a resource of liquid assets (HQLA), the consequence of which is an increased risk of disposing of
them. Most of the methods of liquidity risk measurement presented in this article exclude the impact
of credit risk on the stability of cash flow, which questions their accuracy and determines the need for
the correction of the results with regards to the potential impact of both active and passive credit risk. |
| first_indexed | 2024-04-11T11:23:11Z |
| format | Article |
| id | doaj.art-de497930f2cb4a80ab9603a95ace2cde |
| institution | Directory Open Access Journal |
| issn | 1644-9584 2300-8792 |
| language | English |
| last_indexed | 2024-04-11T11:23:11Z |
| publishDate | 2014-11-01 |
| publisher | Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego |
| record_format | Article |
| series | Problemy Zarządzania |
| spelling | doaj.art-de497930f2cb4a80ab9603a95ace2cde2022-12-22T04:26:38ZengWydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu WarszawskiegoProblemy Zarządzania1644-95842300-87922014-11-0112nr 4(48)132150DOI:10.7172/1644-9584.48.7Skorygowany o ryzyko kredytowe pomiar płynności banku jako narzędzie wsparcia procesu zarządzania stabilnością finansowąPaweł Niedziółka0Szkoła Główna Handlowa, Instytut Bankowości i Ubezpieczeń GospodarczychThe article focuses on the evaluation of selected methods of quantifying liquidity risk which is affected by a broad spectrum of risk factors, including in particular the credit risk. The following forms of impact of credit risk on liquidity risk were taken into consideration: (1) problems related to the influence of the deterioration of the quality of bank’s loan portfolio, resulting in an increase in liquidity gap and a need to convert liquid assets into cash or obtain additional external financing, (2) an increase in credit risk of the bank (passive credit risk) resulting in disturbances in the process of obtaining external financing and an increase of its cost, (3) an increase in credit risk of issuers of securities until now classified as a resource of liquid assets (HQLA), the consequence of which is an increased risk of disposing of them. Most of the methods of liquidity risk measurement presented in this article exclude the impact of credit risk on the stability of cash flow, which questions their accuracy and determines the need for the correction of the results with regards to the potential impact of both active and passive credit risk.https://pz.wz.uw.edu.pl/resources/html/article/details?id=166859credit riskliquidity riskfinancial stability |
| spellingShingle | Paweł Niedziółka Skorygowany o ryzyko kredytowe pomiar płynności banku jako narzędzie wsparcia procesu zarządzania stabilnością finansową Problemy Zarządzania credit risk liquidity risk financial stability |
| title | Skorygowany o ryzyko kredytowe pomiar płynności banku jako narzędzie wsparcia procesu zarządzania stabilnością finansową |
| title_full | Skorygowany o ryzyko kredytowe pomiar płynności banku jako narzędzie wsparcia procesu zarządzania stabilnością finansową |
| title_fullStr | Skorygowany o ryzyko kredytowe pomiar płynności banku jako narzędzie wsparcia procesu zarządzania stabilnością finansową |
| title_full_unstemmed | Skorygowany o ryzyko kredytowe pomiar płynności banku jako narzędzie wsparcia procesu zarządzania stabilnością finansową |
| title_short | Skorygowany o ryzyko kredytowe pomiar płynności banku jako narzędzie wsparcia procesu zarządzania stabilnością finansową |
| title_sort | skorygowany o ryzyko kredytowe pomiar plynnosci banku jako narzedzie wsparcia procesu zarzadzania stabilnoscia finansowa |
| topic | credit risk liquidity risk financial stability |
| url | https://pz.wz.uw.edu.pl/resources/html/article/details?id=166859 |
| work_keys_str_mv | AT pawełniedziołka skorygowanyoryzykokredytowepomiarpłynnoscibankujakonarzedziewsparciaprocesuzarzadzaniastabilnosciafinansowa |