asset positions once the aggregate interbank funding market experiences a dry-up. To this regard, we show that liquidity … strategy further helps us to analyse how disruptions in the bank headquarters’ interbank market can lead to liquidity and …

demand for liquidity in the interbank market as wells as banks' access to this market. Results indicate that riskier banks … pay higher prices and borrow less liquidity, concurrent with the existence of market discipline. More capitalized and … higher prices and hoard liquidity when liquidity positions across them are more imbalanced and during a monetary policy …

This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent …

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …

We propose a model that links the conditional probability of bank failure to insolvency and liquidity risks, and show … that liquidity risk affects bank failures through systematic and idiosyncratic channels. Empirical results based on U … systematic liquidity risk was a major predictor of bank failures in 2008 and 2009. This finding has important implications for …

Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure based on … reveals funding liquidity risk. We can extract an insurance premium from banks' bids which we propose as measure of funding … liquidity risk. Using a unique data set consisting of all bids in the main refinancing operation auctions conducted at the ECB …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses …