Jump liquidity risk and its impact on CVaR
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- Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
- Jan Willem van den End & Mark Kruidhof, 2013.
"Modelling the liquidity ratio as macroprudential instrument,"
Journal of Banking Regulation,
Palgrave Macmillan, vol. 14(2), pages 91-106, April.
- Jan Willem van den End & Mark Kruidhof, 2012. "Modelling the liquidity ratio as macroprudential instrument," DNB Working Papers 342, Netherlands Central Bank, Research Department.
- Ahmed Arif & Ahmed Nauman Anees, 2012. "Liquidity risk and performance of banking system," Journal of Financial Regulation and Compliance, Emerald Group Publishing, vol. 20(2), pages 182-195, May.
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KeywordsMonte Carlo methods; Risk analysis; Liquidity;
StatisticsAccess and download statistics
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