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

48 Pages Posted: 17 Feb 2013

Date Written: November 2012

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.

JEL Classification: G01, G21, G32

Suggested Citation

Federico, Pablo Mariano, Developing an Index of Liquidity-Risk Exposure: An Application to Latin American and Caribbean Banking Systems (November 2012). IDB Working Paper No. IDB-TN-426, Available at SSRN: https://ssrn.com/abstract=2219775 or http://dx.doi.org/10.2139/ssrn.2219775

Pablo Mariano Federico (Contact Author)

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

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