Estimating financial institutions' intraday liquidity risk : a Monte Carlo simulation approach

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Borradores de Economía; No. 703

Date published

2012-04-15

Date

2012-04-15

Authors

León-Rincón, Carlos Eduardo

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Document language

spa
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The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

The 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

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JEL Codes

E47 - Money and Interest Rates: Forecasting and Simulation: Models and Application

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Keywords

Keywords

Payments systems , Intraday , Liquidity risk , Bivariate poisson process , Monte Carlo simulation , Liquidity buffer , Oversight

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5726
 https://hdl.handle.net/20.500.12134/5726
 https://ideas.repec.org/p/bdr/borrec/703.html
 https://doi.org/10.32468/be.703

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