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
ePrint ID: 80323
Date Deposited: 24 Mar 2010
Last Modified: 27 Mar 2014 19:03
Publisher: University of Southampton
URI: http://eprints.soton.ac.uk/id/eprint/80323

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