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

2006-03-12

Authors

Estrada, Dairo Ayiber
Osorio-Rodríguez, Daniel Esteban

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ISBN

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.

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

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

Description

JEL Codes

G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages
L14 - Transactional Relationships; Contracts and Reputation; Networks
G33 - Bankruptcy; Liquidation

Temática

Keywords

Keywords

Liquidity manager , Liquidity risk , Market risk , Systemic risk , Financial contagion , Mark-to-market

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5402
 https://hdl.handle.net/20.500.12134/5402
 https://ideas.repec.org/p/bdr/borrec/384.html
 https://doi.org/10.32468/be.384

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Borradores de Economía

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

Este documento ha sido depositado por parte de el(los) autor(es) bajo la siguiente constancia de depósito