scholarly journals ESTIMATING LIQUIDITY RISK USING THE EXPOSURE-BASED CASH-FLOW-AT-RISK APPROACH: AN APPLICATION TO THE UK BANKING SECTOR

2014 ◽  
Vol 19 (3) ◽  
pp. 225-238 ◽  
Author(s):  
Meilan Yan ◽  
Maximilian J. B. Hall ◽  
Paul Turner
Keyword(s):  
At Risk ◽  
Cash Flow ◽  
Banking Sector ◽  
Liquidity Risk ◽  
Risk Approach ◽  
The Uk

scholarly journals How Does Credit Risk Influence Liquidity Risk? Evidence from Ukrainian Banks

2017 ◽  
pp. 21-32 ◽  
Author(s):  
Ruoyu Cai ◽  
Mao Zhang
Keyword(s):  
Credit Risk ◽  
Cash Flow ◽  
Positive Relationship ◽  
Banking Sector ◽  
Liquidity Risk ◽  
Foreign Banks ◽  
Alternative Measures ◽  
High Level ◽  
Bank Risks

This study investigates the link between two major risks in the banking sector: liquidity risk and credit risk. Utilizing a novel sample of Ukrainian banks for the period from Q1 2009 to Q4 2015, we document credit risk as having a positive relationship with liquidity risk. Our findings suggest banks with a high level of non-performing loans might not meet depositors’ withdrawal demands, which could lower cash flow and trigger depreciation in loan assets and consequently increase liquidity risk. Furthermore, we find this positive relationship between credit risk and liquidity risk is more pronounced in foreign banks and large banks. Our results are robust with respect to alternative measures of bank risks.

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