March 2002
Intermediate to advanced
176 pages
3h 48m
English
book
Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
by Jean Dermine, Youssef F. Bissada
Content preview from Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition
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Solution to Stage Sixteen
| 1. |
e-Bank does not meet the one-week liquidity policy as the estimated cash outflows over the first week (24,800) exceed 5% of the deposit base (400,000 × 5% = 20,000). e-Bank meets the two-week liquidity policy as the cumulative cash outflows (29,600) are less than 10% of the customers’ deposit base (400,000 × 10% = 40,000). |
| 2. | One way to improve the liquidity of the first week is to borrow one-year maturity for 10,000 and buy a one-week bond. At reimbursement of the bond, an additional liquidity of 10,000 would be available, reducing the one-week liquidity gap to 14,800 (24,800 – 10,000). |
| 3. | In the case of a bank run, ... |
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