Measuring systemic liquidity risk and the cost of liquidity insurance /
I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns...
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| Main Author: | |
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| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Washington, D.C.] :
International Monetary Fund,
2012.
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| Series: | IMF working paper ;
WP/12/194. |
| Subjects: | |
| Online Access: | CONNECT |
Table of Contents:
- Cover; Contents; I. Introduction; II. The Systemic Liquidity Risk Indicator; A. Relation to Literature; B. Arbitrage Relationships; C. Derivation and Performance of the SLRI; D. Counterparty Risk; III. Banks' Exposure to Liquidity Risk; A. Individual Banks; B. Portfolios of Banks; IV. The Cost of Liquidity Insurance; A. Contingent Claims Analysis and the Distribution of Bank Assets; B. Systemic Liquidity Risk and the Valuation of Implicit Guarantees; C. Computing the Liquidity Insurance Premium; V. Conclusion; References; Appendices; Figures; Tables.
