Cash Liquidity at Risk

@inproceedings{Skoglund2012CashLA,
  title={Cash Liquidity at Risk},
  author={Jimmy Skoglund and Wei Chen},
  year={2012}
}
The measurement of firms funding liquidity risk is in general complex. In particular, liquidity insolvency happens the first time the firm cannot generate sufficient counterbalancing capacity from the liquidity hedging portfolio to cover the funding gap. The complexity arises from the fact that there is uncertainty in the creation of counterbalancing capacity from the firms liquidity hedging portfolio. This means that liquidity solvency at T>t does not guarantee solvency at t. This paper… CONTINUE READING