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Endogenous debt maturity : liquidity risk vs. default risk

Manuelli, Rodolfo E.; Sanchez, Juan M. - 2018

Persistent link: https://www.econbiz.de/10011950510

Risk management with thinly traded securities : methodology and implementation

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...

Persistent link: https://www.econbiz.de/10011303812

Liquidity and investment in general equilibrium

Caramp, Nicolas; Kozlowski, Julian; Teeple, Keisuke - 2022

Persistent link: https://www.econbiz.de/10013367858

Risk allocation under liquidity constraints

Csóka, Péter; Herings, Peter Jean-Jacques - 2014

. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a … liquidity constraints is not straight- forward, since the presence of a liquidity policy leads to externalities. We argue that …

Persistent link: https://www.econbiz.de/10010350439

Life-cycle risk-taking with personal disaster risk

Bagliano, Fabio C.; Fugazza, Carolina; Nicodano, Giovanna - 2021

Persistent link: https://www.econbiz.de/10012583768

Aggregate implications of corporate bond holdings by nonfinancial firms

Ferreira, Miguel H. - 2023

This paper explores the impact of risky asset holdings by U.S. nonfinancial firms. From the early 1990s to 2017, the share of risky securities surged from 28% to over 40% of firms' financial assets. Using a business-cycle heterogeneous firms model, I show that declining real interest rates since...

Persistent link: https://www.econbiz.de/10014455419