the international allocation of economic activity. Private assets’ liquidity properties - their usefulness as collateral … entry, production, aggregate productivity, and total market capitalization. In a closed economy, the liquidity market …, cross-country differences in financial development|as measured by the degree of liquidity of a country’s assets - generate …

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

measures of countries' growth opportunities. -- Liquidity ; risk premiums ; growth opportunities …This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international …

allocations and discuss implications for credit risk modeling. …

risk factors are correlated with each other and the degree of dependence individual firms have to the different types of … risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we … propose a model for exploring credit risk diversification across industry sectors and across different countries or regions …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … results obtained indicate that if firm-specific risk exposures (including their default thresholds) are heterogeneous but come … from a common parameter distribution, for sufficiently large portfolios there is no scope for further risk reduction …

We provide benchmarks to evaluate what is an optimal foreign debt and a maximal foreign debt (debt-max), when risk is … capital. We consider two sets of high- risk countries during the period 1978-99: a subset of 21 countries that defaulted on … default risk, and add another dimension to the literature of early warning signals of default/credit risk. …