Bank liquidity risk assessment with Exposed-based Liquidity-at-Risk approach: An application in UK

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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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Bibliographic Details
Main Author:	CHEN, YUXIANG
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2017
Online Access:	https://eprints.nottingham.ac.uk/45367/

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