In this paper we discuss the importance of liquidity risk when evaluating the risk of portfolios of financial assets that insurance companies hold. Until very recently and within the scope of Solvency II, liquidity risk was only considered under Pillar II, i.e. the proposal was that insurance...

Venture capital (VC) funds are supplied by a wide range of individual and institutional investors with varied risk profile. The funds vary in size and given funds life VC fund managers thus face two tiers of issues with liquidity and risk management. First the fund managers could face a set of...

We show that firm demand-side factors are strong drivers of procyclical refinancing be- havior over the credit cycle using novel data from the Shared National Credit program. Firms are more likely to refinance early when credit conditions are good to keep the ef- fective maturity of their loans...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second dimension focuses on asset liquidity risk (or market...

The traditional approach to the stress testing of financial institutions focuses on capital adequacy and solvency. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which may not be consistent with those used in solvency...

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the second dimension is dedicated to the modeling of the...

We provide evidence that CEO equity incentives, especially stock options, influence stock liquidity risk via information disclosure quality. We document a negative association between CEO options and the quality of future managerial disclosure policy. Contributing to the literature on CEO...

Based on a TRACE dataset of 9393 cat bond trades on the secondary OTC market from 2015 to 2019, we analyze trading patterns, liquidity determinants, and the liquidity premium of catastrophe bonds. We find that cat bonds are mostly traded without inventory involvement of dealers, and they are...

This paper analyzes the relation between insurers' liquidity creation and reinsurance demand. The empirical measure of liquidity creation was developed for banks by Berger and Bouwman (2009), who distinguished two important bank activities: liquidity creation and risk transformation. Insurers...

We study the role of insurance companies in propagating liquidity shocks to the real economy. We use natural disasters as our instrument to identify exogenous shifts in capital market liquidity, and study whether capital market liquidity affects regional-level fiscal conditions and drives GDP...