Bank liquidity risk assessment with Exposed-based Liquidity-at-Risk approach: An application in UK
In this research, liquidity-at-risk (LaR) is applied to assess liquidity risks of six UK banks. Initially, an Exposure-Based model is built to explore the relationship between risk exposure factor fluctuations and bank liquidity gap volatility. Then the fluctuations of significant risk factors for e...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2017
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| Online Access: | https://eprints.nottingham.ac.uk/45367/ |