Developing an Index of Liquidity-Risk Exposure: An Application to Latin American and Caribbean Banking Systems
After the 2007-2009 global financial crisis and previous financial crises in Latin America, the liquidity-risk exposure of banking systems is considered one of the most important vulnerabilities. At the same time, that exposure may also be the most mysterious of those vulnerabilities, as the dimensions of this risk are not yet well understood and good metrics have not been available. This goal of this paper is to provide a thorough review of previous contributions and to develop a set of measures of systemic liquidity-risk exposure of banking systems, with a focus on Latin American and Caribbean economies.
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| Format: | Technical Notes biblioteca |
| Language: | English |
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Inter-American Development Bank
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| Subjects: | Financial Sector, G01 - Financial Crises, G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages, G32 - Financing Policy • Financial Risk and Risk Management • Capital and Ownership Structure • Value of Firms • Goodwill, Financial crisis, Liquidity-risk exposure, Banking systems, |
| Online Access: | http://dx.doi.org/10.18235/0009083 https://publications.iadb.org/en/developing-index-liquidity-risk-exposure-application-latin-american-and-caribbean-banking-systems |
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| Summary: | After the 2007-2009 global financial crisis and previous financial crises in Latin America, the liquidity-risk exposure of banking systems is considered one of the most important vulnerabilities. At the same time, that exposure may also be the most mysterious of those vulnerabilities, as the dimensions of this risk are not yet well understood and good metrics have not been available. This goal of this paper is to provide a thorough review of previous contributions and to develop a set of measures of systemic liquidity-risk exposure of banking systems, with a focus on Latin American and Caribbean economies. |
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