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

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