Bundesbank paper calls for inclusion of endogenous liquidity in accounts

bundesbank

A working paper published by the Deutsche Bundesbank today (December 11) says endogenous liquidity is an important omission from the valuation of portfolios.

The researchers, Philippe Durand, Yalin Gündüz and Isabelle Thomazeau, define endogenous liquidity as the risk that the realised price of a transaction may be different from the expected price. Incorporating endogenous liquidity into valuations is "feasible and realistic", they say, but is not currently required by the International

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: