liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher … financial intermediary is opaque) and, correspondingly, liquidity requirements should be tightened. The model is applied to …

(fall) and liquidity falls (increases) buy (sell) orders tend to prevail. Risk-averse market-makers, with inventory … documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise …-depletion risk being their main concern, tend to quote wider (narrower) spreads when they think bond appreciation is more (less …

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have … a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading … equilibria which can be ranked in terms of liquidity, volatility, and informational efficiency. We establish the limits of the …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil …

allocations and discuss implications for credit risk modeling …

-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED … spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on the one …