reliance on the payments system as well as special liquidity-supplying tools provided by the central bank seem to be more … risks implied by the cross-sectional heterogeneity in bank behavior in short-term lending markets. Strategies in, and … banks should utilize high-frequency data on liquidity demand to obtain a better picture of financial health of individual …

have a funding advantage over small banks after controlling for bank-specific and market risk factors. Working with hand …

The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements …

Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence … and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated … rollover risks of a bank and a government, which are connected through the government’s guarantee of bank liabilities. We show …

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to … fire sales ex post. Precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate … liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness refinement to …

. We measure the value of funding liquidity from the cross-section of on-the-run premia by adding a liquidity factor to an … arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An … increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on …