An empirical study of liquidity risk embedded in banks' asset liability mismatches

An empirical study of liquidity risk embedded in banks' asset liability mismatches

The correct measure and definition of liquidity in finance literature remains an unresolved empirical issue. The main objective of the present study was to develop, validate and test the liquidity mismatch index (LMI) developed by Brunnermeier, Krishnamurthy and Gorton (2012) empirically. Building o...

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Bibliographic Details
Main Author: Marozva, Godfrey
Other Authors: Makina, Daniel
Format: Others
Language:en
Published: 2017
Subjects:
Liquidity mismatch index
Liquidity risk
Bank liquidity
Measures of liquidity
Global financial crisis
Systemic risk
Market liquidity
Funding liquidity
332.10968
Banks and banking > South Africa
Liquidity (Economics) > South Africa
Risk management > South Africa
Asset-liability management > South Africa
Financial crisis > South Africa
Online Access:Marozva, Godfrey (2017) An empirical study of liquidity risk embedded in banks' asset liability mismatches, University of South Africa, Pretoria, <http://hdl.handle.net/10500/23292>
http://hdl.handle.net/10500/23292

Internet

Marozva, Godfrey (2017) An empirical study of liquidity risk embedded in banks' asset liability mismatches, University of South Africa, Pretoria, <http://hdl.handle.net/10500/23292>
http://hdl.handle.net/10500/23292

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