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The liquidity risk of liquid hedge funds
Journal of Financial Economics, 2010 Abstract This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79% per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity
Melvyn Teo
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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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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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Annales Universitatis Apulensis Series Oeconomica, 2006 Daschievici Anisoara Niculina
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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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Liquidity risk in securities settlement [PDF]
Journal of Banking & Finance, 2005 This paper studies the potential impact on securities settlement systems (SSSs) of a major market disruption, caused by the default of the largest player. A multi-period, multi-security model with intraday credit is used to simulate direct and second-round settlement failures triggered by the default, as well as the dynamics of settlement failures ...
Johan Devriese +2 more
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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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IMF Working Papers, 2019 The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency stress tests.
Rama Cont +2 more
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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 ...
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