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Credit Crises, Risk Management Systems and Liquidity Modelling

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Author Info
Frank Milne () (Queen's University)

Additional information is available for the following registered author(s):

Abstract

This paper explores the theoretical structure and implementation of Risk Management systems in Financial Institutions. It uses the current credit crisis as a test of the model's deficiencies. The paper suggests possible modifications to these systems to allow for "liquidity" in asset trading. Also the paper links these modifications to the theory of banking and financial crises and suggests possible ways in which regulators and central banks may exploit or modify RM systems to test for systemic risks.

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File URL: http://jdi.econ.queensu.ca/Working_Papers/papers/jdi_wp_1.pdf
File Format: application/pdf
File Function: First version 2008
Download Restriction: no

Publisher Info
Paper provided by John Deutsch Institute for the Study of Economic Policy in its series Working Papers with number 1.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 41 pages
Date of creation: Sep 2008
Date of revision:
Handle: RePEc:jdi:wpaper:1

Contact details of provider:
Postal: Dunning Hall, Queen's University, Kingston, Ontario, K7L 3N6
Phone: 613-533-2294
Fax: 613-533-6025
Web page: http://jdi.econ.queensu.ca/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Mark Babcock).

Related research
Keywords: Credit Risk; Risk Management; Liquidity;

Find related papers by JEL classification:
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
L13 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Oligopoly and Other Imperfect Markets

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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