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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).

Record type: Monograph (Discussion Paper)


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

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Published date: 2010


Local EPrints ID: 80323
PURE UUID: f87d7eac-b5ab-4ba4-a9a3-511f71faaa95

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Date deposited: 24 Mar 2010
Last modified: 18 Jul 2017 23:13

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Author: L.I.R. Jayasekera

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