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Liquidity Risk Management

Student: Burtnaia Ekaterina

Supervisor: Sylvain Carré

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2021

This paper analyzes the development of the banking sector in Russia in terms of improving the methodology for controlling liquidity risk and adopting the recommendations of the Basel Committee. We analyze the change in the regulation of liquidity risk through the transition from the old Russian liquidity ratios (H3) to the new international standards (LCR). We also investigate how a correspondent account, the most flexible component of a bank's HQLA, affects liquidity risk management. In addition, we analyze the impact of a surplus or shortage of liquidity on the bank's correspondent account and, accordingly, on the value of the liquidity ratio. To analyze the behavior of banks with a structural profit or a liquidity shortage in the system, the new RUSFAR index was used as a proxy of the real cost of money.

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