The Resource Measuring systemic liquidity risk and the cost of liquidity insurance, Tiago Severo
Measuring systemic liquidity risk and the cost of liquidity insurance, Tiago Severo
Resource Information
The item Measuring systemic liquidity risk and the cost of liquidity insurance, Tiago Severo represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Measuring systemic liquidity risk and the cost of liquidity insurance, Tiago Severo represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.
This item is available to borrow from 1 library branch.
- Summary
- 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
- Language
- eng
- Extent
- 1 online resource
- Note
- Title from PDF title page (IMF Web site, viewed Oct. 3, 2016)
- Contents
-
- 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
- Isbn
- 9781475597622
- Label
- Measuring systemic liquidity risk and the cost of liquidity insurance
- Title
- Measuring systemic liquidity risk and the cost of liquidity insurance
- Statement of responsibility
- Tiago Severo
- Language
- eng
- Summary
- 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
- Cataloging source
- YDXCP
- http://bibfra.me/vocab/lite/collectionName
- IMF eLibrary
- http://library.link/vocab/creatorName
- Severo, Tiago
- Illustrations
- illustrations
- Index
- no index present
- LC call number
- HG178 ONLINE
- Literary form
- non fiction
- Nature of contents
-
- dictionaries
- bibliography
- http://library.link/vocab/relatedWorkOrContributorName
- International Monetary Fund
- Series statement
- IMF Working Paper
- Series volume
- WP/12/194
- http://library.link/vocab/subjectName
-
- Insurance
- Bank liquidity
- Liquidity (Economics)
- Risk
- Stocks
- Bank liquidity
- BUSINESS & ECONOMICS
- Insurance
- Liquidity (Economics)
- Risk
- Stocks
- Label
- Measuring systemic liquidity risk and the cost of liquidity insurance, Tiago Severo
- Note
- Title from PDF title page (IMF Web site, viewed Oct. 3, 2016)
- Bibliography note
- Includes bibliographical references
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- 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
- Control code
- 903698897
- Extent
- 1 online resource
- Form of item
- online
- Isbn
- 9781475597622
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other physical details
- illustrations
- Specific material designation
- remote
- System control number
-
- imfWPIEA2012194
- (IMF)WPIEA2012194
- (OCoLC)903698897
- Label
- Measuring systemic liquidity risk and the cost of liquidity insurance, Tiago Severo
- Note
- Title from PDF title page (IMF Web site, viewed Oct. 3, 2016)
- Bibliography note
- Includes bibliographical references
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- 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
- Control code
- 903698897
- Extent
- 1 online resource
- Form of item
- online
- Isbn
- 9781475597622
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other physical details
- illustrations
- Specific material designation
- remote
- System control number
-
- imfWPIEA2012194
- (IMF)WPIEA2012194
- (OCoLC)903698897
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.sandiego.edu/portal/Measuring-systemic-liquidity-risk-and-the-cost-of/yy5UHCHaC_Q/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.sandiego.edu/portal/Measuring-systemic-liquidity-risk-and-the-cost-of/yy5UHCHaC_Q/">Measuring systemic liquidity risk and the cost of liquidity insurance, Tiago Severo</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.sandiego.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.sandiego.edu/">University of San Diego Libraries</a></span></span></span></span></div>
