Coverart for item
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

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
Creator
Contributor
Author
Subject
Genre
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
Member of
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
Instantiates
Publication
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
Publication
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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