Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that …

effect on prices and liquidity occurred on the announcement date. We document immediate pass through into primary markets …

utilizes a multi-equation framework to model forward-looking measures of market and credit risk using the credit default swap … banking systemic risk jointly posed by CDS markets. -- distance of default ; credit derivatives ; credit default swap index …

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 …

risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel …

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 …