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

The most recent

Jhorland Ayala-García, Jaime Alfredo Bonet-Moron, Eduardo A. Haddad, Inácio F. Araújo
Clark Granger, Jhorland Ayala-García, Fabio Montenegro Aparicio
Hans-Erik Edsand, Andrés Aleán-Romero, Jhorland Ayala-García, Tania Jiménez Castilla, Sandra C. Valencia

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