Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector
(2014)
Journal Article
Yan, M., Hall, M. J., & Turner, P. (2014). Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector. International journal of finance & economics : IJFE, 19(3), 225-238. https://doi.org/10.1002/ijfe.1495
This paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the exposure-based cash-flow-at-risk (CFaR) model, which not only measures a bank's liquidity risk tolerance but also helps to improve li... Read More about Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector.