Liquidity Risk: Analysis of the Factors and Assessment in Major Russian Banks

<p align="center"><strong>Annotation </strong><br />The topic of bachelor&rsquo;s thesis: &ldquo;Liquidity Risk: Analysis of the Factors and Assessment in Major Russian Banks&rdquo;</p><p>Keywords: liquidity, liquidity risk, macroeconomic factors affecting liquidity, liquidity standards, supervision, assessment and regulation of liquidity, the major Russian banks.</p><p>Relevance of the study is that liquidity risk for banks arises increasingly due to globalization of markets, unhindered flow of capital. A certain race of liquidity risk management methods is observed since 2007. The global financial crisis has shown that the stability of the banking sector is mainly determined by the ability to minimize losses on the abrupt change of macroeconomic factors affecting liquidity.</p><p>The purpose of the diploma is investigation of fundamental aspects of liquidity and liquidity risk, analysis of the measures taken by the Central Bank of Russia (CBR) during the crisis for maintaining bank liquidity, making an econometric model that evaluates the impact of macroeconomic factors on the liquidity of the major Russian banks.</p><p>The following tasks should be solved to achieve the purpose:</p><p style="margin-left:53.45pt;">1)&nbsp;&nbsp;&nbsp; To analyze the factors of liquidity and liquidity risk;</p><p style="margin-left:53.45pt;">2)&nbsp;&nbsp;&nbsp; To examine the existing methods of analysis and assessment of liquidity risk according international and Russian standards;</p><p style="margin-left:53.45pt;">3)&nbsp;&nbsp;&nbsp; To conduct a critical analysis of the foreign research according liquidity and liquidity risk;</p><p style="margin-left:53.45pt;">4)&nbsp;&nbsp;&nbsp; To consider the anti-crisis measures of the CBR in the crisis period for maintaining &nbsp;bank liquidity;</p><p style="margin-left:53.45pt;">5)&nbsp;&nbsp;&nbsp; &nbsp;To study the dependence between the liquidity of major banks and changing of macroeconomic factors by using econometric analysis;</p><p style="margin-left:53.45pt;">6)&nbsp;&nbsp;&nbsp; To propose recommendations to improve the situation with bank liquidity in Russia.</p><p>The object is the 50 major Russian banks in terms of capital, occupying the largest part of the banking sector.</p><p>The subject of research is the impact of macroeconomic factors on the probability of liquidity risk occurrence in the banking sector of Russia.</p><p>Statistical, mathematical, econometric methods and methods of similarities, differences, analysis and comparison are used in this paper.</p><p>The structure of the diploma includes introduction, three chapters and conclusion.</p><p>The introduction involves substantiation of relevance, setting goals and objectives of the diploma, determination of the object and the subject of research, methodology.</p><p>The first chapter includes the theoretical basis of liquidity and liquidity risk, the factors influencing liquidity and liquidity risk, the results of foreign studies according bank liquidity, liquidity assessment according international and Russian standards and methods of bank liquidity management.</p><p>The second chapter consists of the analysis of the Russian Central Bank regulatory measures, aimed at preventing the risk of liquidity in the time of global financial crisis, the investigation of situation with liquidity after financial crisis, examination of the main problems in point of liquidity management, identified during financial crisis.</p><p>The third chapter is founded on econometric model that describes &nbsp;dependence between the balances on correspondent accounts and changes of the macroeconomic factors during 2007 - 2013 years. Selection of factors is based on the primary characteristics of the Russian economy and on the factors that are used by the CBR and the IMF for the stress testing of the banking sector. According to the results, obtained by the econometric model, the GDP growth rate, the capital flows negatively influence the liquidity in the Russian banking sector, and the price of oil and the dynamics of the currency basket - positively influence. Results obtained econometric model coincide with the results published by the CBR and the IMF.</p><p>General summary of diploma, recommendations for preventing liquidity risk in the banking sector are in the conclusion.</p><p>The diploma consists of 108 pages, includes 26 figures, 11 tables and 6 enclosures. Diploma was used 42 domestic and foreign source of literature.</p>