Titolo della tesi: Liquidity Risk Assessments, Models, and Regulatory Implications
The adequate assessment of liquidity risk has become of paramount importance
for the stability of the financial system. Appropriate liquidity risk management
helps maintain market confidence and prevents the risk of panic runs and financial
contagion during times of financial stress. As the measurement of liquidity risk
is challenging, it is of core importance to have a deep understanding of this risk,
especially from a regulatory perspective. This thesis provides new insights into
the liquidity risk framework and proposes novel modelling methodologies that
have valuable policy implications.
Chapter 1 provides an in-depth analysis of how liquidity shocks have been at
the core of past crises. The chapter reviews the primary regulatory metrics and
models suggested for assessing the level of bank liquidity risk, as well as the
probability of depositor runs. It also identifies the key future challenges of the
financial system from a liquidity standpoint, highlighting the need for further
research and analysis in this area.
Chapter 2 introduces a novel measure of bank liquidity risk, building from the
metrics currently used in the regulatory framework. The proposed measure is a
valuable tool for identifying liquidity imbalances under different stress scenarios
and can serve as an early indicator of potential liquidity risks.
Chapter 3 proposes a theoretical model which aims to capture the novel features
of modern bank runs, characterised by rapid and vast liquidity outflows. The
model sheds light on the role of coordination and information sharing among
depositors in the likelihood of a bank run and provides insights into the adequacy
of policy responses.