A market risk approach to liquidity risk and financial contagion

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Borradores de Economía; No. 384
Date published
2006-03-12
Date of last update
2006-03-12
Author
Estrada, Dairo Ayiber
Osorio-Rodríguez, Daniel Esteban
Document language
spa
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Las 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.
Abstract
According to traditional literature, liquidity risk in individual banks can turn into a system-wide financial crisis when either interbank credit exposures or bank runs are present. This paper shows that this phenomenon can also arise when individual liqu
JEL Codes
G21 - Banks; Depository Institutions; Micro Finance Institutions; MortgagesL14 - Transactional Relationships; Contracts and Reputation; NetworksG33 - Bankruptcy; Liquidation
Keywords
Liquidity manager ; Liquidity risk ; Market risk ; Systemic risk ; Financial contagion ; Mark-to-market ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5402
https://hdl.handle.net/20.500.12134/5402
https://doi.org/10.32468/be.384
https://ideas.repec.org/p/bdr/borrec/384.html
https://ideas.repec.org/p/col/000094/001921.html
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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