Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach
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Other versions of this item:
- Carlos León, 2012. "Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach," Borradores de Economia 703, Banco de la Republica de Colombia.
References listed on IDEAS
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More about this item
Keywords
Payments Systems; Intraday; Liquidity Risk; Bivariate Poisson process; Monte Carlo Simulation; Liquidity Buffer; Oversight.;JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2012-05-02 (All new papers)
- NEP-BAN-2012-05-02 (Banking)
- NEP-CBA-2012-05-02 (Central Banking)
- NEP-CMP-2012-05-02 (Computational Economics)
- NEP-RMG-2012-05-02 (Risk Management)
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