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Approaches to quantify liquidity risk quantification

Approaches to quantify liquidity risk quantification
Approaches to quantify liquidity risk quantification
The paper considers two approaches in quantifying liquidity risk. It looks at the differential between the quoted bond spread of an entity and the government Treasury bond / swap rates in relation to the corresponding CDS spreads. The paper also considers a stochastic modelling approach to quantify liquidity risk and looks at the possibility of generating a Liquidity at Risk (LAR) distribution, similar to a more traditional value at risk analysis.
AF-10-04
University of Southampton
Jayasekera, L.I.R.
9524bb12-e1ac-4914-a34a-8fd76e72809f
Jayasekera, L.I.R.
9524bb12-e1ac-4914-a34a-8fd76e72809f

Jayasekera, L.I.R. (2010) Approaches to quantify liquidity risk quantification (Discussion Papers in Accounting & Finance, AF-10-04) England, GB. University of Southampton

Record type: Monograph (Discussion Paper)

Abstract

The paper considers two approaches in quantifying liquidity risk. It looks at the differential between the quoted bond spread of an entity and the government Treasury bond / swap rates in relation to the corresponding CDS spreads. The paper also considers a stochastic modelling approach to quantify liquidity risk and looks at the possibility of generating a Liquidity at Risk (LAR) distribution, similar to a more traditional value at risk analysis.

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Published date: 2010

Identifiers

Local EPrints ID: 80323
URI: http://eprints.soton.ac.uk/id/eprint/80323
PURE UUID: f87d7eac-b5ab-4ba4-a9a3-511f71faaa95

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Date deposited: 24 Mar 2010
Last modified: 10 Dec 2021 17:37

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Contributors

Author: L.I.R. Jayasekera

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