Yan, Meilan; Hall, Maximilian J. B.; Turner, Paul - School of Business and Economics, Loughborough University - 2011
This paper uses a relatively new quantitative model for estimating UK banks' liquidity risk. The model is called the Exposure-Based Cash-Flow-at-Risk (CFaR) model, which not only measures a bank's liquidity risk tolerance, but also helps to improve liquidity risk management through the provision...
