Estimating Liquidity Risk Using The Exposure-Based Cash-Flow-at-Risk Approach: An Application To the UK Banking Sector
Download full text from publisher
Other versions of this item:
- Meilan Yan & Maximilian J. B. Hall & Paul Turner, 2014. "Estimating Liquidity Risk Using The Exposure‐Based Cash‐Flow‐At‐Risk Approach: An Application To The Uk Banking Sector," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 19(3), pages 225-238, July.
References listed on IDEAS
- Niclas Andrén & Håkan Jankensgård & Lars Oxelheim, 2005. "Exposure-Based Cash-Flow-at-Risk: An Alternative to VaR for Industrial Companies," Journal of Applied Corporate Finance, Morgan Stanley, vol. 17(3), pages 76-86.
- Evert Wipplinger, 2007. "Philippe Jorion: Value at Risk – The New Benchmark for Managing Financial Risk," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(3), pages 397-398, September.
- Gupta, Anurag & Liang, Bing, 2005. "Do hedge funds have enough capital? A value-at-risk approach," Journal of Financial Economics, Elsevier, vol. 77(1), pages 219-253, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Voloshyn, Ihor & Voloshyn, Mykyta, 2013. "Integrated risk management in a commercial market-maker bank using the 'cash flow at risk' approach," MPRA Paper 61562, University Library of Munich, Germany.
- Voloshyn, Ihor & Voloshyn, Mykyta, 2013. "Risk-adjusted pricing of bank’s assets based on cash flow matching matrix," MPRA Paper 61611, University Library of Munich, Germany.
More about this item
KeywordsLiquidity risk; Exposure-based CFaR; Risk Management; Funding Pressure;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-28 (All new papers)
- NEP-BAN-2011-11-28 (Banking)
- NEP-RMG-2011-11-28 (Risk Management)
StatisticsAccess and download statistics
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:lbo:lbowps:2011_06. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Huw Edwards). General contact details of provider: http://edirc.repec.org/data/delbouk.html .