IDEAS home Printed from https://ideas.repec.org/a/ban/bancar/v11y2014mnovemberp20-39.html
   My bibliography  Save this article

From Risk Self Assessment to Operational

Author

Listed:
  • Simona Cosma

    (Università del Salento)

  • Luigi Dell’Anna

    (Università del Salento)

  • Gianfausto Salvadori

    (Università del Salento)

Abstract

Although there is by now extensive literature that sees the core function of banks in terms of liquidity creation, very few contributions propose measures of it. This paper aims to construct an indicator of liquidity creation that takes into account the maturity of the individual assets and liabilities and the stability of their detention by various economic sectors. The use of such an indicator for the banks of the Eurozone makes it possible, in relation to the period between 2003 and 2013, to clarify the difference in behaviour regarding liquidity creation by the banks of Southern and Northern Europe, and the changes in the liquidity policy of the Ecb over time

Suggested Citation

  • Simona Cosma & Luigi Dell’Anna & Gianfausto Salvadori, 2014. "From Risk Self Assessment to Operational," BANCARIA, Bancaria Editrice, vol. 11, pages 20-39, November.
  • Handle: RePEc:ban:bancar:v:11:y:2014:m:november:p:20-39
    as

    Download full text from publisher

    File URL: http://www.bancaria.it/en/from-risk-self-assessment-to-operational-value-at-risk-estimation-a-methodological-proposal
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ban:bancar:v:11:y:2014:m:november:p:20-39. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Francesco Emiliano Tani (email available below). General contact details of provider: https://www.bancaria.it .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.