the design of the loss absorption mechanism affects the stability of bank funding and distinguish between Conversion …. As we show, the first two loss absorption mechanisms unambiguously improve a bank's stability of funding position. By … uncertainty regarding a bank's ex post solvency position. Bank managers, investors as well as supervisors and regulators should be …

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on … the proprietary bank-to-bank European interbank dataset extracted from Target2 and also exploit the Lehman and sovereign … on interbank access and volume is stronger than on spreads. Liquidity supply restrictions are exacerbated for cross …

affects bank lending depends on the whether the banks are drawing on official sector liquidity facilities. Third, liquidity … heterogeneity in the balance sheet characteristics that affect banks' responses to liquidity risk. Overall, bank balance sheet … financial crisis. Yet, we know little about the actual magnitudes and mechanisms for transmission of liquidity shocks through …

. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be …

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of … less liquid papers. By doing so they outperformed other funds as long as liquidity in the market was high. Investing in … the shortening of liquidity caused by the subprime crisis illiquid funds experienced runs, while more liquid funds …

In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat … simultaneously on both market and credit risk factors. In this case, an approximation of the portfolio value function splitting value … changes into a pure market risk plus pure credit risk component can lead to underestimation of risk. It can therefore not be …

emphasizes structural differences between the bank-based German financial system and the rather market-based Anglo …

We build a model in which financial intermediaries provide insurance to households against a liquidity shock … technology when they provide more risk-sharing. Our model predicts that bank-oriented economies should grow slower than more …