Funding Liquidity Risk

Funding Liquidity Risk
Author : Mathias Drehmann
Publisher :
Total Pages : 31
Release : 2010
ISBN 10 : IND:30000111263129
ISBN 13 :
Language : EN, FR, DE, ES & NL

Funding Liquidity Risk Book Description:

In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk based on data from open market operations. Our empirical analysis uses a unique data set of 135 main refinancing operation auctions conducted at the ECB between June 2005 and December 2007. We find that our proxies for funding liquidity risk are typically stable and low, with occasional spikes, especially during the recent turmoil. We are also able to document downward spirals between funding liquidity risk and market liquidity.

Funding Liquidity Risk
Language: en
Pages: 31
Authors: Mathias Drehmann
Categories: Asset-liability management
Type: BOOK - Published: 2010 - Publisher:

In this paper we propose definitions of funding liquidity and funding liquidity risk and present a simple, yet intuitive, measure of funding liquidity risk base
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