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

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

The most recent

Materials prices, market power, and the rise in processed food inflation in emerging markets: Evidence from Colombia
Jorge Florez-Acosta, Margarita María Gáfaro-González, Alejandra González-Ramírez, Juan Sebastián Vélez-Velásquez
Complementary Evidence on Colombia’s Business Cycle: A Perspective from the Growth Cycle Approach
Diego Vásquez-Escobar
Trade in services in Colombia, 1994-2024: A descriptive analysis
Sandra Isabel Salamanca-Gil, Enrique Montes-Uribe, Juan Sebastián Silva-Rodríguez

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