Share

Measuring Systemic Risk-Adjusted Liquidity (SRL)

2012-08-01 Business & Economics
Download Measuring Systemic Risk-Adjusted Liquidity (SRL) PDF Online Free

Author :
Release : 2012-08-01
Genre : Business & Economics
Kind : eBook
Book Rating : 590/5 ( reviews)

GET EBOOK


Book Synopsis Measuring Systemic Risk-Adjusted Liquidity (SRL) by : Andreas Jobst

Download or read book Measuring Systemic Risk-Adjusted Liquidity (SRL) written by Andreas Jobst. This book was released on 2012-08-01. Available in PDF, EPUB and Kindle. Book excerpt: Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm’s maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution’s time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.

Measuring Systemic Risk-Adjusted Liquidity (SRL)

2013
Download Measuring Systemic Risk-Adjusted Liquidity (SRL) PDF Online Free

Author :
Release : 2013
Genre :
Kind : eBook
Book Rating : /5 ( reviews)

GET EBOOK


Book Synopsis Measuring Systemic Risk-Adjusted Liquidity (SRL) by : Andreas (Andy) Jobst

Download or read book Measuring Systemic Risk-Adjusted Liquidity (SRL) written by Andreas (Andy) Jobst. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: Little progress has been made so far in addressing -- in a comprehensive way -- the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm's maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution's time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.

Measuring System Risk-adjusted Liquidity (SRL)

2012 Liquidity (Economics)
Download Measuring System Risk-adjusted Liquidity (SRL) PDF Online Free

Author :
Release : 2012
Genre : Liquidity (Economics)
Kind : eBook
Book Rating : /5 ( reviews)

GET EBOOK


Book Synopsis Measuring System Risk-adjusted Liquidity (SRL) by : Andreas Jobst

Download or read book Measuring System Risk-adjusted Liquidity (SRL) written by Andreas Jobst. This book was released on 2012. Available in PDF, EPUB and Kindle. Book excerpt: Little progress has been made so far in addressing--in a comprehensive way--the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm's maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution's time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.

Measuring Systemic Risk-Adjusted Liquidity (SRL)

2012-08-01 Business & Economics
Download Measuring Systemic Risk-Adjusted Liquidity (SRL) PDF Online Free

Author :
Release : 2012-08-01
Genre : Business & Economics
Kind : eBook
Book Rating : 427/5 ( reviews)

GET EBOOK


Book Synopsis Measuring Systemic Risk-Adjusted Liquidity (SRL) by : Andreas Jobst

Download or read book Measuring Systemic Risk-Adjusted Liquidity (SRL) written by Andreas Jobst. This book was released on 2012-08-01. Available in PDF, EPUB and Kindle. Book excerpt: Little progress has been made so far in addressing—in a comprehensive way—the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm’s maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution’s time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios.

Measuring and Managing Liquidity Risk

2013-09-03 Business & Economics
Download Measuring and Managing Liquidity Risk PDF Online Free

Author :
Release : 2013-09-03
Genre : Business & Economics
Kind : eBook
Book Rating : 246/5 ( reviews)

GET EBOOK


Book Synopsis Measuring and Managing Liquidity Risk by : Antonio Castagna

Download or read book Measuring and Managing Liquidity Risk written by Antonio Castagna. This book was released on 2013-09-03. Available in PDF, EPUB and Kindle. Book excerpt: A fully up-to-date, cutting-edge guide to the measurement and management of liquidity risk Written for front and middle office risk management and quantitative practitioners, this book provides the ground-level knowledge, tools, and techniques for effective liquidity risk management. Highly practical, though thoroughly grounded in theory, the book begins with the basics of liquidity risks and, using examples pulled from the recent financial crisis, how they manifest themselves in financial institutions. The book then goes on to look at tools which can be used to measure liquidity risk, discussing risk monitoring and the different models used, notably financial variables models, credit variables models, and behavioural variables models, and then at managing these risks. As well as looking at the tools necessary for effective measurement and management, the book also looks at and discusses current regulation and the implication of new Basel regulations on management procedures and tools.

You may also like...