Gegenstand der vorliegenden Studie ist die vertiefte Analyse des marktphasenabhängigen Einflusses der Liquidität auf die Credit Spreads Euro denominierter Unternehmensanleihen. Dabei werden zwei Untersuchungsperioden während verschiedener Kapitalmarktphasen betrachtet. Die erste...

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the financing crisis. With the advent of the crisis, market participants' perception of their ability to refinance over a given period of time changed radically. As a result,...

After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a “lemons market” or to ask for liquidity “on tap” from central banks. This paper...

Financial crisis has shown significant gaps in risk management system in financial institutions. The major critics focused on an inappropriate usage of the innovative financial products with not adequate reflection of capital requirements for their market risks, not adequate valuations of those...

This paper fills a fundamental gap in commodity price risk management and optimal portfolio selection literatures by contributing a thorough reflection on trading risk modeling with a dynamic asset allocation process and under the supposition of illiquid and adverse market settings. This paper...

This paper highlights the different avenues through which stock liquidity can potentially transcend into accounting research. Recently, Lang and Maffett show that transparency reduces firm-level liquidity uncertainty, while Ng shows that increased information quality can reduce a firm's exposure...

We provide a simple model, able to explain why the overnight (ON) rate follows a downward intraday pattern, implicitly creating a positive intraday interest rate. While this normally reflects only some frictions, a liquidity crisis introduces a new component: the chance of an upward jump of the...

During the 2007–2009 financial crisis, US subprime mortgage risk exposures led to severe liquidity problems in several other foreign markets. Such risk contagion was caused by enormous changes in interest rates. Although risk contagion has been investigated by several literatures, the...

Dėl finansinės krizės pasireiškimo Lietuvos rinkoje, likvidumo rizikos valdymo klausimas šalies bankų sistemai tapo itin aktualus. Taigi magistro baigiamajame darbe siekiama išsiaiškinti, kaip pasaulinė finansinė krizė paveikė dabartinę AB „Parex“ banko likvidumo situaciją bei...

By providing liquidity to depositors and credit line borrowers, banks are exposed to doubleruns on assets and liabilities. For identification, we exploit the 2007 freeze of the European interbank market and the Italian Credit Register. After the shock, there are sizeable, aggregate double-runs....