The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses …

: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces … undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social …I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk …

We employ a proprietary transaction-level dataset in Germany to examine how capital requirements affect the liquidity … average trade size. While non-bank affiliated dealers increase their market-making activity, they are unable to bridge this … gap - aggregate liquidity declines. Our results are stronger for banks with a higher capital shortfall, for noninvestment …

constrained efficient when supplemented with the same government liquidity regulation that is required to make a banking system …I revisit the Diamond-Dybvig model of liquidity insurance in the presence of hidden trades. The key result is that in … this environment deposit-taking banks are not necessary for the efficient provision of liquidity. Mutual funds are …

We investigate liquidity shocks and shocks to fundamentals during financial crises at commercial banks, investment … banks, and hedge funds. Liquidity shock amplification models assume that widespread funding problems cause fire sales. We …

The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought … on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful … insufficient collateral compounded the effects of dangerously high leverage and resulted in undercapitalization and excessive risk …

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 …

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory … requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous … outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the …

policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. This paper aims … at extending the literature which views interbank markets as mutual liquidity insurance mechanism by taking into account … persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro …

dependencies arising from common risk factors, while recessions in real sectors due to bank defaults should be a secondary concern. …In this paper we study systemic risk for the US and Europe. We show that banks' exposures to common risk factors are … crucial for systemic risk. We come to this conclusion by first showing that relations between US and European banks are …