Estimating financial institutions' intraday liquidity risk : a Monte Carlo simulation approach

Number: 
703
Published: 
Classification JEL: 
C15, C63, E47, G17, D81
Keywords: 
Human capital agglomeration, Social returns, Private returns, Externalities, Uncertainty, Fiscal policy

The most recent financial crisis unveiled that liquidity risk is far more important and intricate than regulation have conceived. The shift from bank-based to market-based financial systems and from Deferred Net Systems to liquidity-demanding Real-Time Gr