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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Description/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 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 |
| Item ID: | 80323 |
| Date Deposited: | 24 Mar 2010 |
| Last Modified: | 02 Mar 2012 13:03 |
| Contributors: | Jayasekera, L.I.R. (Author) |
| Date: | 2010 |
| Status: | Published |
| Publisher: | University of Southampton |
| URI: | http://eprints.soton.ac.uk/id/eprint/80323 |
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