Alternative assets are gaining increasing importance in investors' portfolios. One of their defining characteristic is their poor liquidity, which often translates into an inherent smoothing process of the returns. For asset allocation purposes, this feature has to be seriously addressed as it...

We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...

This thesis contributes to the analysis and measure of systemic risk through four chapters. In the first chapter, we discuss the notion of systemic risk and detail the methodological issues of modeling. The second chapter proposes a structural model of solvency contagion. Within an equilibrium...

The Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate...

Zahlungs- und Schuldendeckungsfähigkeit stellen finanzwirtschaftliche Existenzbedingungen dar, deren Einhaltung in Bankenkrisen gefährdet ist. Das war nicht anders in den Bankenkri-sen der National Banking-Ära der USA. Fraglich ist, ob mit der Einführung des Federal Re-serve Systems eine...

Liquidity and solvency are conditional for banks' existence, They are endangered during banking crises. Since the banking crises of the National Banking Era in the USA are no exceptions, the question remains whether the foundation of the Federal Reserve System offered an adequate solution to the...

This paper analyzes the impact of a liquidity requirement similar to the Basel 3 Liquidity Coverage Ratio (LCR) on banks' funding costs and corporate lending rates. Using a dataset of 26 Dutch banks from January 2008 to December 2011, I find that banks which are just above/below their...