Estimating financial institutions’ intraday liquidity risk: a Monte Carlo simulation approach
Year of publication: |
2012-04
|
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Authors: | León, Carlos |
Institutions: | Banco de la Republica de Colombia |
Subject: | Payments Systems | Intraday | Liquidity Risk | Bivariate Poisson process | Monte Carlo Simulation | Liquidity Buffer | Oversight |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 3 pages long |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques ; E47 - Forecasting and Simulation ; G17 - Financial Forecasting ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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Estimating financial institutions´ intraday liquidity risk: a Monte Carlo simulation approach
Léon, Carlos, (2012)
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Estimating Financial Institutions’ Intraday Liquidity Risk : A Monte Carlo Simulation Approach
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