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Neural network-based liquidity risk prediction in Indian private banks
Intelligent Systems with Applications, 2023 Liquidity risk stands as a pivotal financial concern within the Indian banking landscape, particularly in the context of Basel Recommendation. This recommendation underscores the vital role of liquidity risk management, urging banks to establish robust ...
Dr Sumi KV
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Risk allocation under liquidity constraints [PDF]
Journal of Banking & Finance, 2014 Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity
Péter Csóka, P. Jean‐Jacques Herings
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Endogenous Systemic Liquidity Risk [PDF]
SSRN Electronic Journal, 2009 Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing, 2007), this paper analyses the adequate policy response to endogenous systemic liquidity risk. We analyse the feedback between lender of last resort policy and incentives of private banks, determining the aggregate amount of ...
Jin Cao, Gerhard Illing
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POLICIES OF THE COMMERCIAL BANKS LIQUIDITY MANAGEMENT IN THE CRISIS CONTEXT [PDF]
Annals of the University of Oradea: Economic Science, 2009 The article focuses on liquidity management in Commercial Banks, and presents the steps that a good management has to follow to ensure that the position of the bank is not put into jeopardy following a lack of liquidity.
Paun Dragos, Trenca Ioan
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Determinants of liquidity risk: Empirical evidence from Indian commercial banks [PDF]
Banks and Bank Systems, 2023 Liquidity risk is a significant financial threat that must be handled carefully. Underestimation or mismanagement of liquidity risk may lead to severe financial losses or even bank failures.
Tisa Maria Antony
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Liquidity Risk and Asset Pricing in Pakistan Stock Exchange
JISR Management and Social Sciences & Economics, 2021 This paper empirically investigates the impact of liquidity risk on stock returns in Pakistan and determines investors’ attitude under bull and bear market conditions. Specifically, the liquidity adjusted capital asset pricing model(CAPM) is modified by
Abdul Rashid, Asma Aib
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Corporate Bond Pricing Model with Interaction between Liquidity and Credit Risk
Complexity, 2022 This study derives a liquidity and credit risk-adjusted capital asset pricing model and investigates the model using the data set in China's corporate bond market.
Zijian Wu, Baochen Yang, Yunpeng Su
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Pervasive Liquidity Risk [PDF]
SSRN Electronic Journal, 2002 While there is no equilibrium framework for defining liquidity risk per se, several plausible arguments suggest that liquidity risk is pervasive and thus may be priced. For example, market frictions increase the cost of hedging strategies requiring frequent portfolio rebalancing.
Eckbo, B. Espen, Norli, Øyvind
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DeFi Lending Platform Liquidity Risk: The Example of Folks Finance
The Journal of The British Blockchain Association, 2023 Decentralised finance (DeFi) lending platforms may experience liquidity risk, which occurs when users are unable to withdraw their assets. Researchers and practitioners have found that the concentration of deposits among a small group of users is one of ...
Matthias Hafner +7 more
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Latency and Liquidity Risk [PDF]
SSRN Electronic Journal, 2019 Latency (i.e. time delay) in electronic markets affects the efficacy of liquidity taking strategies. During the time liquidity, takers process information and send marketable limit orders (MLOs) to the exchange, the limit order book (LOB) might undergo updates, so there is no guarantee that MLOs are filled.
Cartea, A +2 more
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