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2012 Bank Liquidity and the Global Financial Crisis
Frednard Gideon, Mark A. Petersen, Janine Mukuddem-Petersen, Bernadine De Waal
J. Appl. Math. 2012(SI10): 1-27 (2012). DOI: 10.1155/2012/743656


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.


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Frednard Gideon. Mark A. Petersen. Janine Mukuddem-Petersen. Bernadine De Waal. "Bank Liquidity and the Global Financial Crisis." J. Appl. Math. 2012 (SI10) 1 - 27, 2012.


Published: 2012
First available in Project Euclid: 3 January 2013

zbMATH: 1244.91104
MathSciNet: MR2915740
Digital Object Identifier: 10.1155/2012/743656

Rights: Copyright © 2012 Hindawi


Vol.2012 • No. SI10 • 2012
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