Modeling Liquidity Risk Management in Banking Using System Dynamics Approach

Modeling Liquidity Risk Management in Banking Using System Dynamics Approach

Banks as one of the most important and crucial economic sectors in each country play a significant role in economic growth and development and they face various risks one of which is liquidity risk. Managing liquidity risk is of great importance and identifying its effective factors is more vital. T...

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Main Authors: Seyyed Yahya Asadollahi, Ali Asghar Taherabadi, Farhad Shahveisi, Farshid Khairollahi
Format: Article
Language:English
Published: Islamic Azad University of Arak 2021-07-01
Series:Advances in Mathematical Finance and Applications
Subjects:
liquidity risk
managing liquidity risk
system dynamics
Online Access:http://amfa.iau-arak.ac.ir/article_678861_248909e713c79ddcfa9410b95a429805.pdf
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spelling doaj-79e3203beb754a7899d7c412495f0f082021-05-23T05:01:43ZengIslamic Azad University of ArakAdvances in Mathematical Finance and Applications2538-55692645-46102021-07-016312210.22034/amfa.2020.1899914.1424678861Modeling Liquidity Risk Management in Banking Using System Dynamics ApproachSeyyed Yahya Asadollahi0Ali Asghar Taherabadi1Farhad Shahveisi2Farshid Khairollahi3Department of Accounting, Kermanshah Branch, Islamic Azad University, Kermanshah, Iran.Department of Accounting, Kangavar Branch, Islamic Azad University, Kangavar, Iran.Department of Accounting, Razi University, Kermanshah, IranDepartment of Accounting, Razi university, Kermanshah, Iran.Banks as one of the most important and crucial economic sectors in each country play a significant role in economic growth and development and they face various risks one of which is liquidity risk. Managing liquidity risk is of great importance and identifying its effective factors is more vital. The present study aims to pre-sent a dynamic model to manage liquidity risk. System dynamics is used to find a risk making structure and present the most effective solution to manage it. In this method, by providing a mathematical model, simu-lating the results of various scenarios is possible. The results of implement-ing four scenarios on the model were simulated and analyzed. The results revealed that reducing legal deposits and nonperforming loans and increasing attraction of deposits is influential in banks liquidity risk.http://amfa.iau-arak.ac.ir/article_678861_248909e713c79ddcfa9410b95a429805.pdfliquidity riskmanaging liquidity risksystem dynamics
collection DOAJ
language English
format Article
sources DOAJ
author Seyyed Yahya Asadollahi
Ali Asghar Taherabadi
Farhad Shahveisi
Farshid Khairollahi
spellingShingle Seyyed Yahya Asadollahi
Ali Asghar Taherabadi
Farhad Shahveisi
Farshid Khairollahi
Modeling Liquidity Risk Management in Banking Using System Dynamics Approach
Advances in Mathematical Finance and Applications
liquidity risk
managing liquidity risk
system dynamics
author_facet Seyyed Yahya Asadollahi
Ali Asghar Taherabadi
Farhad Shahveisi
Farshid Khairollahi
author_sort Seyyed Yahya Asadollahi
title Modeling Liquidity Risk Management in Banking Using System Dynamics Approach
title_short Modeling Liquidity Risk Management in Banking Using System Dynamics Approach
title_full Modeling Liquidity Risk Management in Banking Using System Dynamics Approach
title_fullStr Modeling Liquidity Risk Management in Banking Using System Dynamics Approach
title_full_unstemmed Modeling Liquidity Risk Management in Banking Using System Dynamics Approach
title_sort modeling liquidity risk management in banking using system dynamics approach
publisher Islamic Azad University of Arak
series Advances in Mathematical Finance and Applications
issn 2538-5569
2645-4610
publishDate 2021-07-01
description Banks as one of the most important and crucial economic sectors in each country play a significant role in economic growth and development and they face various risks one of which is liquidity risk. Managing liquidity risk is of great importance and identifying its effective factors is more vital. The present study aims to pre-sent a dynamic model to manage liquidity risk. System dynamics is used to find a risk making structure and present the most effective solution to manage it. In this method, by providing a mathematical model, simu-lating the results of various scenarios is possible. The results of implement-ing four scenarios on the model were simulated and analyzed. The results revealed that reducing legal deposits and nonperforming loans and increasing attraction of deposits is influential in banks liquidity risk.
topic liquidity risk
managing liquidity risk
system dynamics
url http://amfa.iau-arak.ac.ir/article_678861_248909e713c79ddcfa9410b95a429805.pdf
work_keys_str_mv AT seyyedyahyaasadollahi modelingliquidityriskmanagementinbankingusingsystemdynamicsapproach
AT aliasghartaherabadi modelingliquidityriskmanagementinbankingusingsystemdynamicsapproach
AT farhadshahveisi modelingliquidityriskmanagementinbankingusingsystemdynamicsapproach
AT farshidkhairollahi modelingliquidityriskmanagementinbankingusingsystemdynamicsapproach
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