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Interbank Networks and Liquidity Risk
2022The implementation of Basel III introduces new capital requirements for liquidity risk that build on the Liquidity Coverage Ratio(LCR) and the Net Stable Funding Ratio (NSFR). We adopt a nonhomogeneous Markov model framework to study liquidity dynamics on a simulated interbank network and test whether the implementation of the new regulation allows for
Marina Dolfin +2 more
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Risk of Liquidity Risk Premium
SSRN Electronic Journal, 2014Most of the empirical and theoretical work on liquidity and asset pricing focuses on the determination and quantification of the liquidity risk premium. During the last decade however, the interest of many researchers has been attracted by the risk of the liquidity risk premium.
Yuping Huang, Vasilios I. Sogiakas
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2019
Risk is endogenous. It builds up during booms, as measured risks fall and individual market participants increase their risk-taking. Risk is then manifested during downturns, as measured risks rise and individual market participants recoil from risk taking.
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Risk is endogenous. It builds up during booms, as measured risks fall and individual market participants increase their risk-taking. Risk is then manifested during downturns, as measured risks rise and individual market participants recoil from risk taking.
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Portfolio Insurance with Liquidity Risk
Asia-Pacific Financial Markets, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Liquidity, liquidity risk and liquidity regulation in banking [PDF]
, 2018 This thesis focuses on the importance of bank liquidity in the overall banking system during various liquidity shocks. To this end, three different empirical research are conducted in this thesis. We start with an investigation of the impact of bank market power on liquidity creation during the global financial crisis (GFC) in European banking. Second,
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Liquidity risk and expected cryptocurrency returns
International Journal of Finance and Economics, 2023Yi Li
exaly