Estimation of liquidity risk in banking
Tobin, Patrick ; Brown, Alan
ANZIAM Journal, Tome 45 (2004), / Harvested from Australian Mathematical Society
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This method of modelling liquidity risk uses a ``bottom-up'' approach. Real bank data has been used and transformed for both ease of use and security. Identifying the degree of liquidity risk enables a bank to take action to avert problem areas overall and bring accountability to management in individual units within the institution. Critical problems identified include data availability---the set task is to identify the worst 3 days in 10,000---and possible confounding with market risk.

Publié le : 2004-01-01
DOI : https://doi.org/10.21914/anziamj.v45i0.905 
@article{905,
     title = {Estimation of liquidity risk in banking},
     journal = {ANZIAM Journal},
     volume = {45},
     year = {2004},
     doi = {10.21914/anziamj.v45i0.905},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/905}
}

Tobin, Patrick; Brown, Alan. Estimation of liquidity risk in banking. ANZIAM Journal, Tome 45 (2004) . doi : 10.21914/anziamj.v45i0.905. http://gdmltest.u-ga.fr/item/905/