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Quantification of Structural Liquidity Risk in Banks

Wieser, Christoph - 2022

Introduction -- Liquidity and risk -- Liquidity risk regulation -- Liquidity risk management -- Model for the … quantification of structural liquidity risk -- Calculation -- Conclusion -- References. …Structural liquidity risk is a material risk resulting from the core banking business of taking in short-term deposits …

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Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables

Fairbrother, Jamie; Turner, Amanda; Wallace, Stein W. - In: INFORMS journal on computing : JOC 30 (2018) 3, pp. 472-491

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Importance sampling in stochastic optimization : an application to intertemporal portfolio choice

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Pension fund's illiquid assets allocation under liquidity and capital requirements

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Management of liquidity and liquid assets in small and medium-sized enterprises

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The LIX : a model-independent liquidity index

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Bitcoin and liquidity risk diversification

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Financing and investment strategies under creditor-maximized liquidation

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Bank runs, portfolio choice, and liquidity provision

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