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Financial Analytics: Science and Experience
 

Results of liquidity risk monitoring in operations of the Russian banking sector

Vol. 8, Iss. 40, OCTOBER 2015

PDF  Article PDF Version

Received: 5 August 2015

Accepted: 20 August 2015

Available online: 4 November 2015

Subject Heading: RISK, ANALYSIS AND EVALUATION

JEL Classification: 

Pages: 2-8

Travkina T.V. Saratov Socio-Economic Institute, Branch of Plekhanov Russian University of Economics, Saratov, Russian Federation
travkina.elena74@mail.ru

Importance Considering crisis phenomena in today's Russian banking sector, effective monitoring of the liquidity risk gains special relevance at each level of the banking system (at the level of the Bank of Russia and commercial banks).
     Objectives The research analyzes what implications the liquidity risk may have for the current environment of the banking sector, and determines the principle areas for improving the efficiency of this risk monitoring.
     Methods The research applies methods of grouping and comparison, financial analysis and econometric modeling, stress tests.
     Results
During the research, I subsequently measured and reviewed indicative parameters of the liquidity risk, determined the level of the liquidity risk at the level of the entire banking system, and analyzed the results using various types of stress tests in relation to the liquidity risk.
     Conclusions and Relevance The banking sector does not demonstrate any liquidity shortage within the period under study, though negative phenomena were observed late in 2014 as a result of some adverse factors. Stress testing found that some Russian banks were sensitive to the liquidity risk. In this respect, the Bank of Russia and commercial banks should perform more effective monitoring of this risk.

Keywords: monitoring, risk, liquidity, Bank of Russia, commercial bank

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