Measuring Systemic Risk-Adjusted Liquidity (SRL) - A Model Approach

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... READ MORE...

Publication date: August 2012
ISBN 9781475505597

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Publication date: August 2012