Funding liquidity risk measurement based on a stochastic approach / Mensuração do risco de liquidez de fluxo de caixa através de uma abordagem estocástica

AUTOR(ES)

Fernando Moreira

DATA DE PUBLICAÇÃO

2010

RESUMO

This paper investigates the applicability of the quantitative model, based on a stochastic approach, proposed by Battaglia, Good &Onorato (2007), for funding liquidity risk measurement for the Brazilian market. For this purpose, the Cash Flow at Risk and the Liquidity at Risk were estimated for a fictitious portfolio, created to reflect in a simplified way the balance sheet of a financial institution, with real assets and liabilities with different maturities and liquidity properties and associated to different risk factors. The results were satisfactory, especially for the significance level of 5%, for which the estimated model presented results very close to the real observed data

ASSUNTO(S)

cash flow at risk economia risco de liquidez de fluxo de caixa stochastic simulation cash flow at risk funding liquidity risk simulação estocástica

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