Measurement of Liquidity Risk and Bank Performance.
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Date
October, 2016
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Abstract
Liquidity risk is a decisive element of all the risk that a ect the operations of
banks. Banks must therefore appraise their liquidity risk continuously and in
particular, in times of economic downturn. This thesis aims to study the
impact of Liquidity risk on banks pro t and a measure of the
Liquidity-at-Risk. Datawere obtained from the annual audited nancials of
selected Ghanaian banks for the period between
2004 and 2013 inclusive. The methodology employed is the Generalized Least
Square (GLS) unbalanced panel data analysis. The dataset used involves only the
universal banks. Results show that Liquidity Gap and Deposits have signi cant
positive e ects on Pro ts while Non-Performing Loans have negative e ect. The
impact of Net loans to Deposit and Leverage Ratios were found to be
statistically insignifi cant.
Description
A thesis submitted to the Department of Mathematics,
Kwame Nkrumah University of Science and Technology in
partial fulfillment of the requirement for the Degree
of Master of Science in Actuarial Science,