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Educational Programme
Final Grade
Year of Graduation
Kirill Novozhilov
The Liquidity Risk of Commercial Banks: Evaluation and Management
(Bachelor’s programme)

"Commercial bank liquidity risk: analysis and management"

Key words: liquidity, liquidity risk, approaches to liquidity assessment, stress testing, macroeconomic factors, liquidity assessment, the Holt-Winters model.

The relevance of the research is that in the development process the banking sector faces crisis situations that have a strong negative impact on the volume of banks' profits. A set of measures is needed aimed at testing banks in stressful situations and forecasting economic indicators for making managerial decisions to minimize losses when the economic situation changes drastically.

Objective: to develop an effective model of liquidity analysis and management with the possibility of practical application in the real banking sector.

The paper presents the theoretical basis of liquidity and liquidity risk, shows the factors that influence them, examines the results of foreign studies on the issue of bank liquidity, assesses liquidity by international and Russian standards, and methods for managing bank liquidity.

The analysis of the banking sector in dynamics since 2008 has also been conducted. The main trends have been identified, as well as crisis situations, their causes and impact on banking indicators.

The third chapter describes in detail the mathematical apparatus and stress testing to create an integrated model for estimating and predicting liquidity risk. Based on 4 selected banks, the model was tested and approved, and the dependence of bank indicators on macroeconomic factors was revealed. Based on the identified dependencies, stress testing was carried out.

In conclusion, the main conclusions on the work are presented, recommendations for minimization of liquidity risk in the banking sector are given.

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