文章基本信息

标题：THE CORRELATION BETWEEN THE MARKET RISK AND THE LIQUIDITY RISK IN THE ROMANIAN BANKING SECTOR
本地全文：下载
作者：Trenca Ioan, Zoicas-Ienciu Adrian
期刊名称：Annals of the University of Oradea : Economic Science
印刷版ISSN：1222-569X
电子版ISSN：1582-5450
出版年度：2010
卷号：XIX
期号：01
页码：437-437–442
出版社：University of Oradea
摘要：A series of studies on liquidity management have appeared during the financial crisis, many of them comparing the funding liquidity with the market liquidity. The paper offers a dynamic image about the liquidity in the Romanian banking sector and its integration with the market risk, comparing the Value at Risk approach with the Liquidity at Risk approach. The research also wants to highlight the most significant features to consider in order to implement an effective liquidity risk management and to achieve a more integrated supervisory framework
关键词：liquidity risk, market crisis, liquidity limits, Value at Risk, Liquidity at Risk