credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually …

who could make capital available to liquidity providers. It will therefore be more difficult for the market to absorb the …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … particularly acute for markets where traders rely heavily on a specific empirical model such as in derivative markets. Asset …-returns distribution. To explore the connection of uncertainty with liquidity, we specify a simple market where a monopolist financial …

Derivative contracts, swaps, and repos enjoy "super-senior" status in bankruptcy: they are exempt from the automatic …, even though this risk could be borne more efficiently by derivative counterparties. In addition, because super …-senior derivatives dilute existing creditors, they may lead firms to take on derivative positions that are too large from a social …

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …