TY  - BOOK
AU  - BRIGGS, Kristie
TI  - Optimal liquidity reserve with funding liquidity risk
PY  - 2013///
CY  - New York
PB  - Taylor & Francis
KW  - export initiatives
KW  - trade margins
KW  - institutional quality
N2  - In this article, we take the funding liquidity risk into account when determining the optimal liquidity reserve ratio for a commercial bank. A simple continuous-time model is developed, and a discrete-time model is built as a benchmark. We find that compared with the continuous-time model, the discrete-time model would generate a higher reserve ratio when the illiquid project has low haircut rate, and a lower reserve ratio when the project has high haircut rate
UR  - https://doi.org/10.1080/13504851.2013.826860
ER  -