Measuring systemic risk-adjusted liquidity (SRL) : a model approach /

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Bibliographic Details
Author / Creator:	Jobst, Andreas.
Imprint:	Washington, D.C. : International Monetary Fund, 2013.
Description:	1 online resource (68 pages :) : illustrations.
Language:	English
Series:	IMF working paper ; WP/13/209
Subject:	Liquidity (Economics) -- Econometric models. Finance. Finance. Liquidity (Economics) -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12502038

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ISBN:	9781475505597 9781475576634
Notes:	Includes bibliographical references.
Summary:	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 characte.

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