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IMPROVING THE BANK'S BALANCE SHEET IN ANTICIPATION OF STRESS: A view on the interaction between the bank's solvency, liquidity and profitability under stress.

Lafeber, BSc Maarten (2015) IMPROVING THE BANK'S BALANCE SHEET IN ANTICIPATION OF STRESS: A view on the interaction between the bank's solvency, liquidity and profitability under stress.

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Abstract:We examine the impact of a severe stress scenario on the bank's solvency, liquidity and profitability profile. Our model is a stylized reflection of an average Dutch bank under a stress scenario. The results is a surface in a three dimensional space, which provide banks information about the maximum attainable spread (and which changes are required in each asset and liability category) for each set of solvency and liquidity positions during the stress.
Item Type:Essay (Master)
Clients:
Ernst & Young, Amsterdam, Netherlands
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:31 mathematics, 83 economics
Programme:Industrial Engineering and Management MSc (60029)
Link to this item:http://purl.utwente.nl/essays/66840
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