Search: liquidity

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1–7 of 7 collapsed search results for liquidity

RBA Glossary definition for liquidity

liquidity – The capacity to sell an asset quickly without significantly affecting the price of that asset. Liquidity is also sometimes used to refer to assets that are highly liquid.

Search Results

Contagion Analysis

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
In the more netting-efficient Scenarios 3 and 4, the incidence of initial liquidity stress is again much lower. ... In Scenarios 3 and 4, four and two banks experience liquidity stress, respectively.
https://www.rba.gov.au/publications/rdp/2015/2015-02/contagion-analysis.html

Policy Implications

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
as initial margin coverage increases, but at the same time the incidence of liquidity stress steadily rises. ... Nevertheless, even with CCP clearing, extreme price changes can give rise to high variation margin obligations that trigger liquidity stress
https://www.rba.gov.au/publications/rdp/2015/2015-02/policy-implications.html

Central Counterparty Loss Allocation and Transmission of Financial Stress

18 Mar 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Following Heath, Kelly and Manning (2013), the paper examines liquidity and solvency risk under alternative clearing configurations, but extends the analysis in two main ways.
https://www.rba.gov.au/publications/rdp/2015/2015-02.html

Background and Relevant Literature

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
credit, liquidity, investment, business, legal and operational risks (CPSS-IOSCO 2012). 2.2 Collateral and Netting. ... However, particularly relative to VMGH, participants could face liquidity challenges in meeting their obligations.
https://www.rba.gov.au/publications/rdp/2015/2015-02/background-relevant-literature.html

Conclusions

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Other topics for future research may include further analysis of the transmission of liquidity risk, and other channels for contagion, such as links between CCPs. ... Finally, the analysis in this paper has taken banks' OTC derivative positions,
https://www.rba.gov.au/publications/rdp/2015/2015-02/conclusions.html

Data and Exposure Analysis

29 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Data on Tier 1 capital and liquidity are similarly drawn from point-in-time observations under the prevailing market structure. ... However, we have applied banks' observed point-in-time capital and liquidity positions across all modelled clearing
https://www.rba.gov.au/publications/rdp/2015/2015-02/data-exposure-analysis.html

References

11 Sep 2015 RDP 2015-02
Alexandra Heath, Gerard Kelly and Mark Manning
Liquidity and Funding Markets. ,
https://www.rba.gov.au/publications/rdp/2015/2015-02/references.html