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