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dc.creatorLeón-Rincón, Carlos Eduardo
dc.date.created2012-04-15
dc.date.issued2012-04-15
dc.identifier.urihttp://repositorio.banrep.gov.co/handle/20.500.12134/5726
dc.description.abstractThe most recent financial crisis unveiled that liquidity risk is far more important and intricate than regulation have conceived. The shift from bank-based to market-based financial systems and from Deferred Net Systems to liquidity-demanding Real-Time Gr
dc.format.mimetypePDF
dc.language.isospa
dc.publisherBanco de la República
dc.relation.ispartofDocumentos de Trabajo
dc.relation.ispartofseriesBorradores de Economía
dc.relation.isversionofBorradores de Economía; No. 703
dc.rights.accessRightsOpen Access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/
dc.titleEstimating financial institutions' intraday liquidity risk : a Monte Carlo simulation approach
dc.typeWorking Paper
dc.subject.jelE47 - Money and Interest Rates: Forecasting and Simulation: Models and Application
dc.subject.jelC63 - Computational Techniques; Simulation Modeling
dc.subject.jelG17 - Financial Forecasting and Simulation
dc.subject.jelD81 - Criteria for Decision-Making under Risk and Uncertainty
dc.subject.jelC15 - Statistical Simulation Methods: General
dc.subject.keywordPayments systems
dc.subject.keywordIntraday
dc.subject.keywordLiquidity risk
dc.subject.keywordBivariate poisson process
dc.subject.keywordMonte Carlo simulation
dc.subject.keywordLiquidity buffer
dc.subject.keywordOversight
dc.subject.lembMétodo de Montecarlo
dc.subject.lembCrisis financiera global, 2008-2009
dc.subject.lembLiquidez (Economía) -- 2008-2009
dc.subject.lembRiesgo financiero -- 2008-2009
dc.type.spaDocumentos de trabajo
dc.rights.spaAcceso abierto
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0
dc.subject.jelspaD81 - Criterios para la toma de decisiones con riesgo e incertidumbre
dc.subject.jelspaC15 - Métodos de simulación estadística: generalidades
dc.subject.jelspaC63 - Técnicas de computación; modelos de simulación
dc.subject.jelspaE47 - Dinero y tipos de interés: Predicción y simulación; Modelos y aplicación
dc.subject.jelspaG17 - Previsiones financieras y simulación
dc.type.hasversionPublished Version
dc.coverage.sucursalBogotá
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/703.html
dc.identifier.handlehttp://hdl.handle.net/20.500.12134/5726


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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit