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Measuring systemic liquidity risk and the cost of liquidity insurance /
I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
2012.
|
| Colección: | IMF working paper ;
WP/12/194. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Severo, Tiago, |e author. | |
| 245 | 1 | 0 | |a Measuring systemic liquidity risk and the cost of liquidity insurance / |c Tiago Severo. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c 2012. | ||
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| 490 | 1 | |a IMF working paper ; |v WP/12/194 | |
| 500 | |a Title from PDF title page (IMF Web site, viewed October 3, 2016). | ||
| 504 | |a Includes bibliographical references. | ||
| 520 | |a I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI - measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively associated with the Net Stable Funding Ratio (NSFR). The link between equity volatility and the SLRI allows me to calculate the cost that would be borne by public authorities for providing liquidity support to the financial sector. I use this information to estimate a liquidity insurance premium that could be paid by individual banks in order to cover for that social cost. | ||
| 505 | 0 | |a Cover; Contents; I. Introduction; II. The Systemic Liquidity Risk Indicator; A. Relation to Literature; B. Arbitrage Relationships; C. Derivation and Performance of the SLRI; D. Counterparty Risk; III. Banks' Exposure to Liquidity Risk; A. Individual Banks; B. Portfolios of Banks; IV. The Cost of Liquidity Insurance; A. Contingent Claims Analysis and the Distribution of Bank Assets; B. Systemic Liquidity Risk and the Valuation of Implicit Guarantees; C. Computing the Liquidity Insurance Premium; V. Conclusion; References; Appendices; Figures; Tables. | |
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| 650 | 0 | |a Liquidity (Economics) | |
| 650 | 0 | |a Bank liquidity. | |
| 650 | 0 | |a Risk. | |
| 650 | 0 | |a Stocks |x Rate of return. | |
| 650 | 0 | |a Insurance. | |
| 650 | 6 | |a Liquidité (Économie politique) | |
| 650 | 6 | |a Banques |x Liquidité. | |
| 650 | 6 | |a Risque. | |
| 650 | 6 | |a Actions (Titres de société) |x Taux de rendement. | |
| 650 | 6 | |a Assurance. | |
| 650 | 7 | |a insurance. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Bank liquidity |2 fast | |
| 650 | 7 | |a Insurance |2 fast | |
| 650 | 7 | |a Liquidity (Economics) |2 fast | |
| 650 | 7 | |a Risk |2 fast | |
| 650 | 7 | |a Stocks |x Rate of return |2 fast | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department. | |
| 830 | 0 | |a IMF working paper ; |v WP/12/194. | |
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