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Measuring Systemic Risk-Adjusted Liquidity (SRL)

Measuring Systemic Risk-Adjusted Liquidity (SRL) »

Source: Measuring Systemic Risk-Adjusted Liquidity (SRL) : A Model Approach

Volume/Issue: 2012/209

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505597

Keywords: Net Stable Funding Ratio (NSFR), extreme value theory, macroprudential regulation, financial institutions, financial stability, present value, liquidity support, financial system, Model Construction and Estimation, Financial Institutions and Services: Government Policy and Regulation

Little progress has been made so far in addressing-in a comprehensive way-the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within fin...

Measuring Systemic Risk-Adjusted Liquidity (SRL)
			: A Model Approach

Measuring Systemic Risk-Adjusted Liquidity (SRL) : A Model Approach »

Volume/Issue: 2012/209

Series: IMF Working Papers

Author(s): Andreas Jobst

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

DOI: http://dx.doi.org/10.5089/9781475505597.001

ISBN: 9781475505597

Keywords: Net Stable Funding Ratio (NSFR), extreme value theory, macroprudential regulation, financial institutions, financial stability, present value, liquidity support, financial system, Model Construction and Estimation, Financial Institutions and Services: Government Policy and Regulation

Little progress has been made so far in addressing-in a comprehensive way-the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within fin...