Understanding and measuring liquidity risk

Andrea Resti and Andrea Sironi ()
Additional contact information
Andrea Resti: Università Bocconi, Milano

BANCARIA, 2007, vol. 11, pages 2-17

Abstract: The liquidity risk is one of the drivers of uncertainty in the banking activities. It could worsen the impact of shocks caused by market instability or temporary lack of customers’ confidence with possible serious consequences on the stability of financial intermediaries, as shown by the events of summer 2007. Today available methodologies for studying this type of risk are not well developed. This lack of certified models exposes to the risk that measures created by banks could give wrong signals to the top management because they are constructed on hypothesis not coherent with the behavior of markets and counterparties in an extreme event scenario

Keywords: Liquidity risk; founding risk; market liquidity risk; stress test (search for similar items in EconPapers)
JEL-codes: G01 G17 G21 (search for similar items in EconPapers)
Date: 2007

Downloads: (external link)
http://www.bancariaeditrice.it/portal/ssm/page.do?pageId=6155728 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ban:bancar:v:11:y:2007:m:november:p:2-17

Access Statistics for this article

BANCARIA is edited by Bancaria Editrice - the publisher of the Italian Banking Association

More articles in BANCARIA from Bancaria Editrice
Series data maintained by Paola Patroni ().