Investigating the Effect of Liquidity Coverage Ratio on Banks' Risk Management

In this study, the importance of crisis test in bank risk management is discussed. In order to conduct this research project, information on the financial statements of 20 banks from the stock exchange was collected in 58 quarterly periods from the beginning of 2007 to the middle of 2021. Next, the research variables were calculated for these banks. The collected data was processed through Excel software. Then, the research hypotheses were analyzed and tested according to the type of data and panel data method, using R 4.1.1 open-source software. The results show that among the major variables that have been shocked, the exchange rate variables and the stock market price index have had an important effect on increasing the liquidity risk, which indicates that owners of funds are paying attention to alternative markets such as the foreign exchange market and the capital market.