MURAME method for liquidity risk analysis of banks in Italy

Abstract

The thesis focuses on the analysis of banks’ liquidity risk for a sample of 40 banks operating in Italy from 2011 to 2017. We decided to consider financial institutions since they have a higher exposure to liquidity risk respect other sectors due to their role of intermediation. The intermediation role refers to the the banks’ activities of granting loans to customers and enterprises to finance their investment and consumption needs. In order to compute the analysis, the MURAME method is used. It is multicriteria decision aids (MCDA) technique which allows to consider simultaneously different factors that affect the banks’ liquidity level. The main outputs of the analysis are: ranking the banks from the best to the worst, dividing the alternatives according to homogeneous liquidity risk classes and ranking the banks inside the same class.