Liquidity Risk meets Economic Capital and RAROC. A framework for measuring liquidity risk in banks.

Doctoral thesis English OPEN
Loebnitz, K.;
(2011)
  • Publisher: University of Twente
  • Subject: IR-78851 | METIS-280692

Liquidity risk is a crucial and inherent feature of the business model of banks. While banks and regulators use sophisticated mathematical methods to measure a bank's solvency risk, they use relatively simple tools for a bank's liquidity risk such as coverage ratios, se... View more
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