Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance is popular PDF and ePub book, written by Tiago Severo in 2012-07-01, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance can be Read Online from any device for your convenience.
Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance Book PDF Summary
I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI - measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively associated with the Net Stable Funding Ratio (NSFR). The link between equity volatility and the SLRI allows me to calculate the cost that would be borne by public authorities for providing liquidity support to the financial sector. I use this information to estimate a liquidity insurance premium that could be paid by individual banks in order to cover for that social cost.
Detail Book of Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance PDF
- Author : Tiago Severo
- Release : 01 July 2012
- Publisher : International Monetary Fund
- ISBN : 9781475505436
- Genre : Business & Economics
- Total Page : 35 pages
- Language : English
- PDF File Size : 9,6 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance by Tiago Severo, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.