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...

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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Severo, Tiago (Auteur)
Collectivité auteur: International Monetary Fund. Monetary and Capital Markets Department
Format: Électronique eBook
Langue:Inglés
Publié: [Washington, D.C.] : International Monetary Fund, 2012.
Collection:IMF working paper ; WP/12/194.
Sujets:
Liquidity (Economics)
Bank liquidity.
Risk.
Stocks > Rate of return.
Insurance.
Liquidité (Économie politique)
Banques > Liquidité.
Risque.
Actions (Titres de société) > Taux de rendement.
Assurance.
insurance.
BUSINESS & ECONOMICS > Finance.
Bank liquidity
Insurance
Risk
Stocks > Rate of return
Accès en ligne:Texto completo
Table des matières:
  • 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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