Liquidity Risk Management in Modern Interbank Payment Systems
Subject Areas : Journal of Investment Knowledge
rassol khoshbin
1
(
PhD Student of Accounting, Department of Accounting, Qazvin Branch, Islamic Azad University of Qazvin, Iran
)
Farzin Rezaei
2
(
Associate professor of IAU, Department of accounting, Qazvin Branch, Islamic Azad University, Qazvin, Iran
)
Mohammad Ali Rastegar
3
(
Assistant Professor, Department of Financial Engineering, School of Industrial and Systems Engineering, Tarbiat Modarres University, Tehran
)
Keywords: Liquidity Buffer, Over Threshold Method, Interbank Payment Systems, Risk Appetite, Liquidity Risk Management,
Abstract :
In this study, in order to measure the liquidity risk in interbank payment systems, the time series of daily data balances of an Iranian bank's payment systems from 01/01/94 to 31/5/98 and then We examined stationary time series with Dickey Fuller and Philips Peron tests and compared the expected value and risk value of payment systems data with the historical method and compared with the Pareto method. The results of the Kopik and Christofferson tests showed that Pareto's generalized approach to better manage banks' liquidity risk is better than historical method based on daily data of payment systems. The bank can then provide liquidity management operations to manage the liquidity risk in the payment system
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