Approaches to quantify liquidity risk quantification
Jayasekera, L.I.R. (2010) Approaches to quantify liquidity risk quantification. England, GB, University of Southampton (Discussion Papers in Accounting & Finance AF-10-04).
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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 Liquidly at Risk (LAR) distribution, similar to a more traditional value at risk analysis
|Item Type:||Monograph (Discussion Paper)|
|Subjects:||H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management|
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||24 Mar 2010|
|Last Modified:||02 Mar 2012 13:03|
|Contributors:||Jayasekera, L.I.R. (Author)
|Publisher:||University of Southampton|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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