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:
ePrint ID: 80323
Date :
Date Event
2010Published
Date Deposited: 24 Mar 2010
Last Modified: 18 Apr 2017 20:10
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/80323

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