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Research on liquidity risk of commercial bank – from the view of comparison of Chinese and American commercial banks [PDF]
ITM Web of Conferences, 2022 The liquidity risk of commercial banks has become an important driver of the major risks in the modern economic system. This paper synthesizes the off balance sheet items which are often ignored in traditional bank liquidity researches, and uses the ...
Wang Mingming
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Problemy Zarządzania, 2013 The global financial crisis is the most serious slump in the economic activity and financial markets in the world since the Great Depression of the ‘30s in the last century. In 2007, A. Clarke, advisor of the President of the Bank of England, said that
Agnieszka K. Nowak
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Risk measuring under liquidity risk [PDF]
Applied Mathematical Finance, 2014 We present a general framework for measuring the liquidity risk. The theoretical framework defines a class of risk measures that incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement model. The liquidity risk is defined as the risk that a given security or a portfolio of securities cannot be easily ...
openaire +3 more sources
The Liquidity Premium in China’s Corporate Bond Market: A Stochastic Liquidity Discount Approach
Risks, 2022 China’s bond market has been ranked third globally; however, China’s corporate bonds are significantly less liquid than its stocks. Liquidity risk is an important component in China’s corporate bond spreads.
Xiaoping Min, Min Ji
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Analysis of the determinants of bank liquidity risk: The case of Islamic banks in the UAE [PDF]
SHS Web of Conferences, 2021 This article aims to examine the principal parameters that impact the liquidity risk incurred by Islamic banks in the UAE. The study examines annual data from four Islamic banks in the UAE.
Addou Khadija Ichrak, Bensghir Afaf
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Banking liquidity as a leading approach to risk management [PDF]
, 2019 For the modern model of the market there are inherent existence of both a set of possibilities and a large number of hazards that are waiting for economic agents and which are generated by the need to make decisions in the conditions of considerable ...
Arzevitin, Stanislav +2 more
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Bank and sovereign debt risk connection : [draft december 2012] [PDF]
, 2012 Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to incentive problems and liquidity risk (in the form of liquidity based ...
Darracq Pariès, Matthieu +2 more
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LIQUIDITY RISK MANAGEMENT AND ACCOUNTING OF RELATED OPERATIONS IN THE BANKING SYSTEM [PDF]
Annals of the University of Petrosani: Economics, 2023 Risk management is the key of modern banks focused on market activity; it is represented by the management of the range of risks faced by the banking system.
GABRIELA CORINA SLUSARIUC
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Endogenous Systemic Liquidity Risk [PDF]
, 2008 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.
Cao, Jin, Illing, Gerhard
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The relationship between earnings quality and liquidity risk [PDF]
پژوهشهای تجربی حسابداری, 2014 : This research invetigates the relationship between earnings quality and liquidity risk. Earnings quality is measured using three different proxies: earnings persistence, value relevance, and accrual quality.
Mansour Nakhaei, Kaveh Mehrani
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