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From Risk Self Assessment to Operational Value-at-Risk estimation: a methodological proposal

Simona Cosma, Luigi Dell’Anna, Gianfausto Salvadori
November 2014 - n. 11
Jel codes: G2, C6

Although there is by now extensive literature that sees the core function of banks in terms of liquidity creation, very few contributions propose measures of it. This paper aims to construct an indicator of liquidity creation that takes into account the maturity of the individual assets and liabilities and the stability of their detention by various economic sectors. The use of such an indicator for the banks of the Eurozone makes it possible, in relation to the period between 2003 and 2013, to clarify the difference in behaviour regarding liquidity creation by the banks of Southern and Northern Europe, and the changes in the liquidity policy of the Ecb over time

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