Estimating liquidity risk using the exposure-based cash-flow-at-risk approach: an application to the UK banking sector

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 liquidity risk management through the provision of a...

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Bibliographic Details
Main Authors: Meilan Yan, Maximilian Hall, Paul Turner
Format: Default Article
Published: 2014
Subjects:
Other economics not elsewhere classified
Liquidity risk
Exposure-based CFaR
Risk management
Funding pressure
Economics not elsewhere classified
Online Access:https://hdl.handle.net/2134/24255
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