An Overview on Value at Risk Model of Bank Cash Management with Application to Lebanon

An Overview on Value at Risk Model of Bank Cash Management with Application to Lebanon

This paper develops a bank cash management model that is easy enough to comprehend and apply. The model relies on Value at Risk ( VaR), stress testing, and inventory management joint principles. The uncertainty of cash withdrawals must be calculated for this reason. This is carried out through a Predicting a regression that explains cash withdrawal fluctuations. The typical mistake of this regression illustrates the misunderstanding in withdrawals. By choosing and applying a Hodrick-Prescott philtre, the model allows for the proper consideration of interconnected statistical processes. The philosophy  It borrows from the issue of news vendor inventory and is extended to the Lebanon situation. Restricted by A As an input, a limited number of parameters are necessary, and must be defined beforehand. The service level and the estimated stock-out cost per order, which decide the stock-out likelihood, and the overall stock-out cost are among these parameters. The carrying cost is essentially the capital cost of opportunity. The ex ante and ex post findings are consistent with theoretical assumptions, and are certainly very realistic.

Author (s) Details

Dr. Samih Antoine Azar
Faculty of Business Administration and Economics, Haigazian University, Beirut, Lebanon.

View Book :- https://bp.bookpi.org/index.php/bpi/catalog/book/290

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