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Markets liquidity risk under extremal dependence : analysis with VaRs methods

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International Banking and Liquidity Risk Transmission : Lessons from Across Countries

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studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

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