and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

credit spreads during 2002-2012: a liquidity regime and a default regime. Both regimes contribute to the patterns observed in … credit spreads. The liquidity regime seems to explain the predictive power of credit risk on the 2007-2009 NBER recession …

Arbitrage and liquidity are interrelated. Liquidity facilitates arbitrageurs’ trading on deviations from the law of one … price. However, whether arbitrage opportunity leads to an increase or decrease in liquidity depends on the cause of the … deviation. A demand shock leads to greater liquidity, while asymmetric information is toxic to liquidity. We examine how …

information channels): when liquidity providers face higher funding constraints, liquidity spillovers across assets increase …Liquidity spillovers -- i.e., the transmissions of liquidity shocks from one asset to another -- are an important yet … not fully understood feature of price formation in financial markets. In this paper, I examine liquidity spillovers across …

correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low … risk. This rebalancing creates predictable demand for liquidity. We also apply the strategy to a group of commodities not …

fully adjusted the close out premium used to compute the CVA according to the Liquidity Risk. It is the first time that the … CVA is adjusted taking into account the Liquidity Market Risk.We innovate market liquidity risk methodologies, in order to … quantify this risk in the future to the close out premium. Therefore the CVA or Exposure will be function of our risk view or …

' liquidity both statistically and economically …

financially constrained firm with limited cash balance must hedge its liquidity with both futures and forward contracts and issue …