Measuring systemic risk-adjusted liquidity (SRL)—A model approach

Little progress has been made so far in addressing—in a comprehensive way—the negative externalities caused by excessive maturity transformation and the implications for effective liquidity regulation of banks. The SRL model combines option pricing theory with market information and balance sheet da...

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Bibliographic Details
Published in:	Journal of banking & finance Vol. 45; pp. 270 - 287
Main Author:	Jobst, Andreas A.
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 01.08.2014 Elsevier Sequoia S.A
Subjects:	Banking Banking law Banks Decision making models Extreme value theory Financial contagion Financial services Funding Insurance Insurance premiums Liquidity Liquidity regulation Liquidity risk Macroprudential policy Markets Maturity Net Stable Funding Ratio (NSFR) Price theory Prices Regulation Regulation of financial institutions Risk Risk adjustment Risk assessment Risk management Studies Systemic risk Transformation C46 G21 G13 G01 Systemic risk G58 Financial contagion G28 Macroprudential policy Extreme value theory Net Stable Funding Ratio (NSFR) Liquidity regulation Liquidity risk C51
ISSN:	0378-4266, 1872-6372
Online Access:	Get full text
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