Credit Crises, Risk Management Systems and Liquidity Modelling
AbstractThis 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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Bibliographic InfoPaper provided by John Deutsch Institute for the Study of Economic Policy in its series Working Papers with number 1.
Length: 41 pages
Date of creation: Sep 2008
Date of revision:
Contact details of provider:
Postal: Dunning Hall, Queen's University, Kingston, Ontario, K7L 3N6
Web page: http://jdi-legacy.econ.queensu.ca/
More information through EDIRC
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; Micro Finance 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:
- NEP-ALL-2008-10-07 (All new papers)
- NEP-BAN-2008-10-07 (Banking)
- NEP-RMG-2008-10-07 (Risk Management)
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