A Market Risk Approach to Liquidity Risk and Financial Contagion

Borradores de Economia
Número: 
384
Publicado: 
Clasificación JEL: 
G21, G33, L14
Palabras clave: 
Liquidity manager, liquidity risk, market risk, systemic risk

Lo más reciente

Anne Brockmeyer, Francois Gerard, Gabriel Ulyssea, Linda Wu, Marcelo Bergolo, Rodrigo Ceni González, Bernard Kirui, Andrea Lopez-Luzuriaga, Leonardo Fabio Morales, Andrea Sofía Otero-Cortés, Nadine Riedel, Matias Tapia, Tanisa Tawichsri, Verena Wiedemann
Marlon Salazar, Andrés Salazar-Mejía, Jorge Daniel Guevara-Acevedo, Juan David Duitama-Correa
Aarón Levi Garavito-Acosta, Wilmer Martinez-Rivera, Camilo González-Sabogal, Johanna Barbosa-Buitrago, Nathaly Vergel-Serrano

According to traditional literature, liquidity risk in individual banks can turn into a system-wide financial crisis when either interbank credit exposures or bank runs are present. This paper shows that this phenomenon can also arise when individual liqu