A new multi-factor risk model to evaluate funding liquidity risk of financial institutions

Malick Fall () and Jean-Laurent Viviani ()
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Malick Fall: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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Keywords: funding liquidity risk; distribution; bank regulation; contagion; value at risk; monte carlo (search for similar items in EconPapers)
Date: 2013-05-28
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Published in 30th International French Finance Association conference (AFFI), May 2013, Lyon, France

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00830488

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