Developing%20an%20Index%20of%20Liquidity%2DRisk%20Exposure%3A%20An%20Application%20to%20Latin%20American%20and%20Caribbean%20Banking%20Systems

Technical Notes

Developing an Index of Liquidity-Risk Exposure: An Application to Latin American and Caribbean Banking Systems


CODE: IDB-TN-426
AUTHOR(s): Federico, Pablo
PUBLISHED: November 2012
LANGUAGE: English
RELATED TOPICS: Finance
DOWNLOAD FILE IN: English

Abstract:

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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