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Effective Liquidity Management of Commercial Bank in Conditions of Economic Uncertainty

Student: Afonina Yulia

Supervisor: Valentina V. Sofronova

Faculty: Faculty of Economics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2019

The global financial crisis of 2008 revealed the imperfection of existing methods for assessing and monitoring the state of liquidity in commercial banks. In this connection, the urgency of the problem of liquidity risk management efficiency in commercial banks has increased. In the conditions of the Russian economy volatility, the effectiveness of liquidity management system is determined by its ability to minimize the increasing liquidity risks and at the same time maximize the efficiency of the banking business. Thus, the relevance of further assessing and managing bank liquidity instruments improving has determined the goal of this graduation qualification work, which is to create a model for an effective analysis of the liquidity of a commercial bank in the context of economic uncertainty. In the theoretical part of the work, we analyzed the essence of liquidity risk, the nature of its origin and determining factors, as well as a surplus of liquidity and the risks it generates. The next stage is determined by the analysis of the existing methods of liquidity risk assessment applied in Russia and abroad. In addition, we revealed the features of the Basel III standard and the consequences of its introduction in Russia. Special attention was paid to stress testing, as one of the most important elements of the bank’s liquidity risk assessment system and the importance of the role of the Bank of Russia in introducing this tool into banks ’risk management systems. In the practical part, we made an analysis of the Russian banking system liquidity, and the hypothesis on the multidirectional dependence of the liquidity on financial efficiency of a bank with different levels of liquidity was tested by two regression models built. The main practical result of the work is the author’s model of an effective bank liquidity management system based on the findings obtained at the theoretical stage of work. The key tool of the model was stress testing, modified using the elements of gap analysis, coefficient method and sensitivity analysis. To assess the applicability of the approach in practice, we made an analysis of liquidity of the Russian commercial bank Sberbank on January 1, 2019 using the developed model with subsequent recommendations for its management.

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