Results 31 to 40 of about 262,741 (354)
Re-Evaluating Sharpe Ratio in Hedge Fund Performance in Light of Liquidity Risk
Journal of Banking and Financial Economics, 2021 This paper demonstrates how the Sharpe Ratio can be modified by altering the measure of “total risk” in the denominator of the Sharpe Ratio (i.e., the standard deviation) to include liquidity risk, a major risk for investors in hedge funds that is ...
Richard Van Horne
doaj +1 more source
Liquidity Risk and Contagion [PDF]
Journal of the European Economic Association, 2005 This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market. When the market's demand for illiquid assets is less than perfectly elastic, sales by distressed institutions depress the market prices of such assets. Marking to
Rodrigo Cifuentes +2 more
openaire +2 more sources
Using machine learning for detecting liquidity risk in banks
Machine Learning with ApplicationsThe accurate classification of banks’ Liquidity Risk (LR) for regulatory supervision is hindered by limitations in the measures, such as Minimum Liquid Assets (MLA), Net-Stable Funding Ratio (NSFR), and Liquidity Coverage Ratio (LCR).
Rweyemamu Ignatius Barongo +1 more
doaj +1 more source
Evaluating the Liquidity Response of South African Exchange-Traded Funds to Country Risk Effects
Economies, 2022 Liquidity is important for the stability of financial markets and the growth of national economies. However, the liquidity of financial markets may be influenced by country risk shocks through informational asymmetry, funding constraints, and portfolio ...
Damien Kunjal
doaj +1 more source
Liquidity-adjusted CAPM — An empirical analysis on Indian stock market
Cogent Economics & Finance, 2019 This article examines the impact of various sources of systematic liquidity risk and idiosyncratic liquidity risk on expected returns in the Indian stock market.
Gaurav Kumar, Arun Kumar Misra
doaj +1 more source
Determinants of liquidity risk in Islamic banks [PDF]
Banks and Bank Systems, 2017 This research analyzes the determinants of liquidity risk in Islamic banks by using a comprehensive model that incorporates several variables that impact the liquidity of Islamic banks.
Tariq Alzoubi
doaj
Liquidity Risk and Monetary Policy [PDF]
, 2007 This paper provides a framework to analyse emergency liquidity assistance of central banks on financial markets in response to aggregate and idiosyncratic liquidity shocks.
Ludwig-maximilians-universität München +3 more
core +4 more sources
Liquidity Risk and its Management in Lithuanian Banking System
Mokslas: Lietuvos Ateitis, 2014 Banks are the main part of financial sector in each economy and strength of banking system becomes vital for ensuringfavourable economic stability and growth.
Erika Bareikaitė +1 more
doaj +1 more source
THE CORRELATION BETWEEN THE MARKET RISK AND THE LIQUIDITY RISK IN THE ROMANIAN BANKING SECTOR [PDF]
Annals of the University of Oradea: Economic Science, 2010 A series of studies on liquidity management have appeared during the financial crisis, many of them comparing the funding liquidity with the market liquidity.
Zoicas-Ienciu Adrian, Trenca Ioan
doaj
Stock price crash risk, liquidity and institutional blockholders: evidence from Vietnam [PDF]
Journal of Economics and DevelopmentPurpose – This study examines the influence of stock liquidity on stock price crash risk and the moderating role of institutional blockholders in Vietnam’s stock market.
Hang Thu Nguyen, Hao Thi Nhu Nguyen
doaj +1 more source