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A dynamic approach to intraday liquidity needs

Freddy Hernán
Cepeda-López
Fabio Gonzalo
Ortega-Castro
Domingo, 1 Marzo 2015

This paper presents a methodology to estimate the intraday liquidity that systemically important entities (SIE) need to fulfill all its obligations in a timely fashion, when a simulated failure-to-pay from its main liquidity supplier by discretionary conc