Results 301 to 310 of about 262,741 (354)
Financial Analysts Journal, 2003 During the turmoil in financial markets in late 1998, financial institutions attempting to liquidate positions to meet capital requirements may have faced unexpectedly high bid-ask spreads. In this paper, we investigate the effect on key risk measures (such as the likelihood of insolvency, value at risk, and expected tail loss) of spreads that are ...
Alexandre ZIEGLER, Darrell DUFFIE
openaire +1 more source
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Volume, liquidity, and liquidity risk☆
Journal of Financial Economics, 2007Abstract Many classes of microstructure models, as well as intuition, suggest that it should be easier to trade when markets are more active. In the data, however, volume and liquidity seem unrelated over time. This paper offers an explanation for this fact based on a simple frictionless model in which liquidity reflects the average risk-bearing ...
openaire +1 more source
Monash Business Review, 2008
Recent credit crises have demonstrated that liquidity is a fundamental cause of economic shocks, say Anthony Asher, Simon Webb and Andrew Doughman, who suggest that actuaries can play a vital role in finding solutions for liquidity risk.This is an edited extract of a paper that was prepared for the Institute of Actuaries of Australias (Institute) 4th ...
Asher, Anthony +2 more
openaire +1 more source
Recent credit crises have demonstrated that liquidity is a fundamental cause of economic shocks, say Anthony Asher, Simon Webb and Andrew Doughman, who suggest that actuaries can play a vital role in finding solutions for liquidity risk.This is an edited extract of a paper that was prepared for the Institute of Actuaries of Australias (Institute) 4th ...
Asher, Anthony +2 more
openaire +1 more source
Liquidity Risk Management [PDF]
Financial stability review, 2007 Liquidity and solvency are the heavenly twins of banking, frequently indistinguishable. An illiquid bank can rapidly become insolvent, and an insolvent bank illiquid. As Tim Congdon noted, (FT, September 2007), in the 1950s liquid assets were typically 30 percent of British clearing banks’ total assets, and these largely consisted of Treasury Bills and
openaire +1 more source
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
openaire +1 more source
Liquidity Risk, Credit Risk, and Interbank Competition
SSRN Electronic Journal, 2008This paper examines the impact of interbank competition on liquidity risk and on the interaction between liquidity and credit risks. We first show that financial intermediation with deposit insurance may increase the impact of liquidity risk, so that intermediated loans may carry higher liquidity premia for borrowers than market-financed loans. Second,
Jian Cai, Anjan V. Thakor
openaire +1 more source
The Journal of Alternative Investments, 2007
The financial markets have successfully established hedging instruments to protect against market risk, interest rate risk, currency risk, commodity risk and credit risk. The classic work in option-pricing by Black & Scholes [1973], and Merton [1973] helped mitigate equity risk through the prudent use of equity options.
Ranjan Bhaduri +2 more
openaire +1 more source
The financial markets have successfully established hedging instruments to protect against market risk, interest rate risk, currency risk, commodity risk and credit risk. The classic work in option-pricing by Black & Scholes [1973], and Merton [1973] helped mitigate equity risk through the prudent use of equity options.
Ranjan Bhaduri +2 more
openaire +1 more source
2005
In the first two parts of this book we have considered why liquidity is so vital to corporate operations and illustrated what can go wrong, in theory and practice, if it is mishandled. The degree of financial damage that can arise varies. In some cases it may be limited to losses from higher funding costs or asset disposals at prices below carrying ...
openaire +1 more source
In the first two parts of this book we have considered why liquidity is so vital to corporate operations and illustrated what can go wrong, in theory and practice, if it is mishandled. The degree of financial damage that can arise varies. In some cases it may be limited to losses from higher funding costs or asset disposals at prices below carrying ...
openaire +1 more source