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

Número: 
703
Publicado: 
Clasificación JEL: 
C15, C63, E47, G17, D81
Palabras clave: 
Payments systems, Intraday, liquidity risk, Bivariate Poisson process

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Luis E. Arango, Leonardo Bonilla-Mejía, Luz Adriana Flórez, Luis E. Arango
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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