Measuring Systemic Risk-Adjusted Liquidity (SRL): A Model Approach
Little progress has been made so far in addressing-in a comprehensive way-the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option prici...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2012
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 12/209 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | Little progress has been made so far in addressing-in a comprehensive way-the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm's maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution's time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios |
| Beschreibung: | 1 Online-Ressource (69 p) |
| ISBN: | 1475505590 9781475505597 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:15Z |
| indexdate | 2024-07-10T09:35:22Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Jobst, Andreas Verfasser aut Measuring Systemic Risk-Adjusted Liquidity (SRL) A Model Approach Jobst, Andreas Washington, D.C International Monetary Fund 2012 1 Online-Ressource (69 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 12/209 Little progress has been made so far in addressing-in a comprehensive way-the externalities caused by impact of the interconnectedness within institutions and markets on funding and market liquidity risk within financial systems. The Systemic Risk-adjusted Liquidity (SRL) model combines option pricing with market information and balance sheet data to generate a probabilistic measure of the frequency and severity of multiple entities experiencing a joint liquidity event. It links a firm's maturity mismatch between assets and liabilities impacting the stability of its funding with those characteristics of other firms, subject to individual changes in risk profiles and common changes in market conditions. This approach can then be used (i) to quantify an individual institution's time-varying contribution to system-wide liquidity shortfalls and (ii) to price liquidity risk within a macroprudential framework that, if used to motivate a capital charge or insurance premia, provides incentives for liquidity managers to internalize the systemic risk of their decisions. The model can also accommodate a stress testing approach for institution-specific and/or general funding shocks that generate estimates of systemic liquidity risk (and associated charges) under adverse scenarios Online-Ausg http://elibrary.imf.org/view/IMF001/13057-9781475505597/13057-9781475505597/13057-9781475505597.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Jobst, Andreas Measuring Systemic Risk-Adjusted Liquidity (SRL) A Model Approach |
| title | Measuring Systemic Risk-Adjusted Liquidity (SRL) A Model Approach |
| title_auth | Measuring Systemic Risk-Adjusted Liquidity (SRL) A Model Approach |
| title_exact_search | Measuring Systemic Risk-Adjusted Liquidity (SRL) A Model Approach |
| title_exact_search_txtP | Measuring Systemic Risk-Adjusted Liquidity (SRL) A Model Approach |
| title_full | Measuring Systemic Risk-Adjusted Liquidity (SRL) A Model Approach Jobst, Andreas |
| title_fullStr | Measuring Systemic Risk-Adjusted Liquidity (SRL) A Model Approach Jobst, Andreas |
| title_full_unstemmed | Measuring Systemic Risk-Adjusted Liquidity (SRL) A Model Approach Jobst, Andreas |
| title_short | Measuring Systemic Risk-Adjusted Liquidity (SRL) |
| title_sort | measuring systemic risk adjusted liquidity srl a model approach |
| title_sub | A Model Approach |
| url | http://elibrary.imf.org/view/IMF001/13057-9781475505597/13057-9781475505597/13057-9781475505597.xml |
| work_keys_str_mv | AT jobstandreas measuringsystemicriskadjustedliquiditysrlamodelapproach |