Liquidity Risk
Liquidity and liquidity risk of UK equity options
... investigates liquidity commonality in the options market is Deuskar et ...interest-rate risk, and the sellers are market-makers who would primarily be concerned with the liquidity risk ...
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Three essays on liquidity risk
... Liquidity risk is inherent to the very nature of the banking activity which is to transform short term liabilities into long term ...why liquidity crises are in one way or another implied in most ...
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Liquidity Risk and Monetary Policy
... Acharya and Pedersen (2005) derive and estimate a liquidity-adjusted capital asset pricing model. In addition to the standard market beta, their model has three betas representing different forms of ...
55
Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data
... of liquidity risk, namely; the endogenous and the exogenous ...exogenous liquidity risk ...exogenous liquidity risks are very much linked and the traded quantity determines the ...
14
Liquidity Risk: An Islamic Banking Perspective
... good liquidity position as well as to manage the Islamic bank liquidity risk (Abdul Karim, Hassan, Hassan, & Mohamad, ...higher liquidity because it allows them to absorb greater ...bank ...
5
Asset Pricing with Liquidity Risk
... with liquidity risk – the risk arising from unpredictable changes in liquidity over ...our liquidity-adjusted capital asset pricing model, a security's required return depends on its ...
60
Regulation of Systemic Liquidity Risk
... comprehensive liquidity requirements ex ante to all financial institutions in order to prevent the incentive to free-ride on liquidity in good ...of liquidity requirement depends on the probability π ...
23
A Model for the Valuation of Assets with Liquidity Risk
... The liquidity risk model in this paper assumes that at an uncertain (mod- eled as random) time in the future some of the funding markets of a bank freeze, which can be a bank-specific or a market-generic ...
27
Three Essays on Bank Liquidity Creation and Funding Liquidity Risk
... intermediation, liquidity creation is an essential role of ...to liquidity risk since banks must provide liquidity to depositors on demand while also holding illiquid loans (Diamond and Rajan, ...
202
A Note on Liquidity Risk Management
... We now show that the insights of the three-period example extend to an infinite-horizon binomial model. Our model is a normative model of liquidity risk management in the spirit of textbook models of ...
14
Liquidity risk and interest rate risk on banks: are they related?
... bank’s liquidity, in case of unchanged interest rates, corresponds to a reduction in its interest margin of Euro 1,016,000, but if we look at the variation in the interest rate between 2009 and 2010, we see that ...
37
Liquidity crunch in the interbank market: is it credit or liquidity risk, or both?
... of liquidity are not indifferent (in general) between borrowing ST and ...the liquidity premium charged on a LT loan with the liquidity risk they incur by borrowing ST: a ST debt should be ...
38
Liquidity risk in securities settlement
... of risk that the model of this paper does not consider and that is potentially important is a fall in securities prices coming about if participants increase their sales of securities in an attempt to raise cash ...
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Exchange Rates and Liquidity Risk
... “liquidity” risk di ff ers across currencies. Recall that liquidity risk is measured by the return on borrowing in the least liquid currencies (smallest depth or widest spread) and lending in ...
38
A Market Risk Approach to Liquidity Risk and Financial Contagion
... individual liquidity risk becomes systemic risk whenever ”the failure of one or a small number of institutions [is] transmitted to others due to explicit financial linkages across institutions” ...
25
Endogenous Cycles and Liquidity Risk
... The phenomenon of business cycles is widely documented and studied. Despite a rich literature on the subject, there still exists significant controversy on the subject […]. In this paper we suggest a novel explanation ...
8
Asset Class Liquidity Risk
... studies liquidity risk, as measured by the covariation of returns with unexpected changes in aggregate liquidity, across 106 indices covering global equity, industry sectors, …xed income, and hedge ...
17
Endogenous Systemic Liquidity Risk
... target liquidity provision to the market, but not to specific ...public liquidity support is supposed to be targeted towards solvent yet illiquid institutions, since insolvent financial institutions should ...
42
1.3 BANKING GROUP - LIQUIDITY RISK
... short-term liquidity risk profile, ensuring that sufficient unencumbered high quality liquid assets (HQLA) are retained that can be converted easily and immediately into cash on the private markets to ...
11
Liquidity risk in banking: is there herding?
... of liquidity to the economy (Berger and Bowman, 2009; Diamond and Dybvig, 1983), they have to adequately man- age the liquidity risk underlying their balance sheet structure, as their maturity ...
40