Liquidity Risk Measurement and Management

Sun, Pengyi

doi:10.1002/9781118390399

Cited by 35 publications

(1 citation statement)

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“…Basel Committee on Banking Supervision proposed maturity laddering method, that allows comparing cash inflows and outflows both on a daytoday basis and over a series of specified time periods as a measure of liquidity risk (Basel Committee on Banking Supervision 2000) while some authors proposed the use of peer group ratio compa risons, liquidity index, financing gap (Saunders, Cornett 2006) and balance sheet liquidity analysis, cash capital po sition and maturity mismatch approach (Matz, Neu 2006) as measures of liquidity exposure. However, Poorman and Blake (2005) indicate that the use of just ratios to measure liquidity was insufficient justifying by the fact that banks with positive liquidity ratio can go bankrupt (Southeast Bank of Miami in 1991).…”

Section: Methodsmentioning

confidence: 99%

Bank Liquidity and Financial Performance: Evidence from Moroccan Banking Industry

Ferrouhi¹

2014

Business: Theory and Practice

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This paper aims to analyze the relationship between liquidity risk and financial performance of Moroccan banks and to define the determinants of bank’s performance in Morocco during the period 2001–2012. We first evaluate Moroccan banks’ liquidity positions through different liquidity and performance ratios then we apply a panel date regression to identify determinants of Moroccan banks performance. We use 4 bank’s performance ratios, 6 liquidity ratios and we analyze 5 specific determinants and 5 macroeconomic determinants of bank performance. Results show that Moroccan bank’s performance is mainly determined by 7 determinants: liquidity ratio, size of banks, logarithm of the total assets squared, external funding to total liabilities, share of own bank’s capital of the bank’s total assets, foreign direct investments, unemployment rate and the realization of the financial crisis variable. Banks’ performance depends positively on size of banks, on foreign direct investments and on the realization of the financial crisis and negatively on external funding to total liabilities, on share of own bank’s capital of the bank’s total assets and on unemployment rate while the dependence between bank performance and liquidity ratios and bank performance and logarithm of the total assets squared depend on the model used.

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Section: Methodsmentioning

confidence: 99%