Liqidity risk management in open market operations with GlueVaR criteria

Subject Areas : Financial engineering

Rasoul khoshbin ¹ , Farzin Rezaei ² , Mohammad Ali Rastegarsorkheh ³

1 - Department of Accounting, Qazvin Branch, Islamic Azad University, Qazvin, Iran
2 - Department of Accounting, Qazvin Branch, Islamic Azad University, Qazvin, Iran
3 - Department of Systems and Productivity Management ,Faculty of Industrial and Systems Engineering, Tarbiat Modares University, tehran, iran

Received: 2020-05-09 Accepted : 2020-07-01 Published : 2020-12-21

Keywords: Liquidity Risk Management, GlueVaR criteria, New Interbank Payment Systems, Risk Appetite, Liquidity Buffer, Open Market Operation (OMO),

Abstract :

Due to the prevalence of granting interbank credit for collateral in order to start open market operations (OMO) in Iran and the need for more liquidity risk management in banks, in this study to manage liquidity risk in interbank payment systems, from the statistical community Daily Data of New Payment Systems in the Banking Industry and Statistical Sample of the Time Series The sum of the daily data balances of the payment systems of an Iranian bank from 01/01/94 to 05/31/1398 has been used. Then, according to the data structure and the fact that the time series were not the sums of the normal payment systems, the GlueVaR criterion was used, which was introduced to eliminate the shortcomings of the two CVaR and VaR criteria and is a linear combination of them. Accordingly, the Liquidity Risk appetite chart has been reported with six different scenarios so that banks can store the cash flow of liquid assets in proportion to their attitude. The results show using the GlueVaR criterion to manage liquidity risk, due to the use of two different levels of confidence and two metrics of risk and expected loss, has the necessary flexibility for different attitudes towards liquidity risk.

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