Управління ризиком ліквідності

English

Liquidity Risk Management

Abstract. The article is devoted to the study of the essence and theoretical concepts of liquidity risk of banks and determination of the main approaches to liquidity risk management in the current conditions. The global financial crisis proved that liquidity risk management is a factor in avoiding damage to depositors, ensuring financial stability of banks and financial stability. Therefore, this issue requires constant improvement and the latest research. The author distinguishes three fundamental theories of liquidity management: the theory of commercial credit, the theory of liquidity changes, and the theory of income expectations. It is noted that liquidity risk arises due to the inability of a bank to fulfill its obligations, expected or unexpected, at the time of their maturity. That is why liquidity risk is a factor that leads to a potential bank default. There is a need to understand the objectives of liquidity and, depending on the objectives, the paper proposes to distinguish between operational, conditional, limited and strategic liquidity. Contingent liquidity is the basis of stress testing. Given that liquidity is associated with the accumulation of cash and the making of payments and the provision of loans, asset liquidity and funding liquidity are distinguished, respectively. Given that banks are now increasingly relying on wholesale funding, funding liquidity risk is becoming a threat to bankruptcy. In order to minimize the impact of liquidity risk, the formation of liquidity buffers and stress testing are highlighted. It is proved that the liquidity buffer allows the bank to carry out internal refinancing , but is effective only for covering small withdrawals. By analyzing the LCR ratio, its weaknesses and strengths are identified. It is noted that, according to experts, LCR increases the level of highly liquid assets, and reflects that LCR causes an increase in the liquidity risk of liabilities, which is not offset by a decrease in the liquidity risk of assets. The choice of a management tool depends on the bank's policy, but is mandatory, especially in stressful conditions.

Keywords: liquidity; risk; bank; liquidity ratios; assets; funding; liquidity buffer; macroprudential regulation