Scientific journal
Научное обозрение. Экономические науки
ISSN 2500-3410
ПИ №ФС77-57503

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PARADIGM OF STRESS TESTING AND OPTIMUM BANK LIQUIDITY MANAGEMENT

Goriacheva E.A. 1 Minakov V.F. 1
1 FGBOU VPO «Saint Petersburg State University of Economics»
The study identifies the main factors that may have a significant impact on the liquidity risk of commercial bank. Analyzed the series of the temporal dynamics of macroeconomic factors, affecting the liquidity risk of the credit institution. Estimated the ranges of variation of these factors. We propose a two-level model of the liquidity management of credit institutions. The first level allows determine the costs of the bank for managing liquidity in the worst condition - lack of liquidity. The second level allows you to avoid limiting the liquidity position by choosing the best cost option replenish liquidity in any intermediate scenario. Author’s algorithm generates a decision tree of optimal liquidity management for the entire trajectory of change in liquidity from the steady state to the stress. Constructed and studied scenic field, and a decision tree for liquidity management of banks.