Journal of Applied Mathematics

  • J. Appl. Math.
  • Volume 2012, Special Issue (2012), Article ID 743656, 27 pages.

Bank Liquidity and the Global Financial Crisis

Frednard Gideon, Mark A. Petersen, Janine Mukuddem-Petersen, and Bernadine De Waal

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Abstract

We investigate the stochastic dynamics of bank liquidity parameters such as liquid assets and nett cash outflow in relation to the global financial crisis. These parameters enable us to determine the liquidity coverage ratio that is one of the metrics used in ratio analysis to measure bank liquidity. In this regard, numerical results show that bank behavior related to liquidity was highly procyclical during the financial crisis. We also consider a theoretical-quantitative approach to bank liquidity provisioning. In this case, we provide an explicit expression for the aggregate liquidity risk when a locally risk-minimizing strategy is utilized.

Article information

Source
J. Appl. Math., Volume 2012, Special Issue (2012), Article ID 743656, 27 pages.

Dates
First available in Project Euclid: 3 January 2013

Permanent link to this document
https://projecteuclid.org/euclid.jam/1357180102

Digital Object Identifier
doi:10.1155/2012/743656

Mathematical Reviews number (MathSciNet)
MR2915740

Zentralblatt MATH identifier
1244.91104

Citation

Gideon, Frednard; Petersen, Mark A.; Mukuddem-Petersen, Janine; De Waal, Bernadine. Bank Liquidity and the Global Financial Crisis. J. Appl. Math. 2012, Special Issue (2012), Article ID 743656, 27 pages. doi:10.1155/2012/743656. https://projecteuclid.org/euclid.jam/1357180102


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References

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