Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance
July 1, 2012
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Format: Chicago
Summary
Subject: Asset and liability management, Banking, Financial regulation and supervision, Financial sector policy and analysis, Liquidity, Liquidity indicators, Liquidity management, Liquidity requirements, Liquidity risk, Systemic risk
Keywords: Banks, Europe, Global, Insurance, Liquidity, Liquidity condition, Liquidity friction, Liquidity insurance premium, Liquidity management, Liquidity requirements, Liquidity risk, Liquidity risk, Market liquidity, Option price, Put option, Stock returns, Systemic risk, WP
Publication Details
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Pages:
35
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Volume:
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DOI:
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Issue:
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Series:
Working Paper No. 2012/194
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Stock No:
WPIEA2012194
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ISBN:
9781475505436
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ISSN:
1018-5941