I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

shock to funding liquidity impacts market liquidity. After the Big Bang, traders are required to pay upfront fees to execute … aggregate after the Big Bang, they do so less for contracts that require larger fees. Furthermore, the funding effect is …

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

impact of stressed outflows on liquidity and solvency positions. We find that large shocks worsen existing short …-term liquidity deficits. Moreover, the associated fall in book value of assets is more than the aggregate Common Equity Tier 1 …

are derived. Liquidity considerations are captured by movements in these prices reflecting possible changes in the set of … bankruptcy was primarily a liquidity event for the remaining banks. Further, we observe that variations in capital requirements … over time are primarily explained by movements in the option surface and the levels of liquidity with credit variations …