Measuring and managing liquidity risk in the Hungarian practice


Autoria(s): Szűcs, Balázs Árpád; Váradi, Kata
Data(s)

2015

Resumo

The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players relate to liquidity. Our results are obtained through a series of semistructured interviews, and are hoped to be a starting point for extending the existing models in an appropriate way. Our main results show that different investor groups can be identified along their approaches to liquidity, and they rarely use sophisticated models to measure and manage liquidity. We conclude that although market players would have access to complex liquidity measurement and management tools, there is a limited need for these, because the currently available models are unable to use complex liquidity information effectively.

Formato

application/pdf

Identificador

http://unipub.lib.uni-corvinus.hu/1867/1/cewp_201503.pdf

Szűcs, Balázs Árpád and Váradi, Kata (2015) Measuring and managing liquidity risk in the Hungarian practice. Working Paper. Corvinus University of Budapest Faculty of Economics, Budapest.

Publicador

Corvinus University of Budapest Faculty of Economics

Relação

http://unipub.lib.uni-corvinus.hu/1867/

Palavras-Chave #Finance
Tipo

Monograph

NonPeerReviewed