We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

persistence of liquidity shocks. Following a theory of long-term interbank funding a financial system which is modeled as a micro … 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 …

dealing with large investor redemptions in the presence of liquidity mismatches. Their tools notwithstanding, bond OEFs had to …

The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study … resilience of the system, defined as the network of its participants, and the appropriateness of liquidity levels under tightened … liquidity conditions. The scenarios analysed are based on extreme shocks to the value of collateral of different levels and …

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to … fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An … intermediate liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness …

empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities … risky than banks that accessed the DW. Our results can contribute to a better design of liquidity facilities during a …

apply to the United Kingdom. We identify 29 indicators of financial stability risk, drawing from the literature on early …

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 …