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Paper / 1999SMQ / 100378033008605
Systemic risk, interbank relations and liquidity provision by the Central Bank
Bruno Parigi / Jean Charles Rochet / Xavier Freixas
banking / financial networksResource overview

Systemic risk, interbank relations and liquidity provision by the Central Bank

Paper1999

by Bruno Parigi, Jean Charles Rochet, Xavier Freixas

Tags
bankingfinancial networksliquidityliquidity risksystemic risk

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Suggested foundations for risk measurement and stress and market microstructure and execution. Specialist prerequisites vary by paper.

Before you read

  1. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  2. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

  3. Order Books

    Read bid, ask, depth and queue-based market state.

  4. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

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  1. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

  2. Backtesting VaR and ES: Coverage Tests and Model Validation

    Check forecasts against realised losses.

  3. Market Impact

    Connect trading speed and size to execution cost.

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