The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses …

: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces … undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social …I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk …

We employ a proprietary transaction-level dataset in Germany to examine how capital requirements affect the liquidity … average trade size. While non-bank affiliated dealers increase their market-making activity, they are unable to bridge this … gap - aggregate liquidity declines. Our results are stronger for banks with a higher capital shortfall, for noninvestment …

constrained efficient when supplemented with the same government liquidity regulation that is required to make a banking system …I revisit the Diamond-Dybvig model of liquidity insurance in the presence of hidden trades. The key result is that in … this environment deposit-taking banks are not necessary for the efficient provision of liquidity. Mutual funds are …

We investigate liquidity shocks and shocks to fundamentals during financial crises at commercial banks, investment … banks, and hedge funds. Liquidity shock amplification models assume that widespread funding problems cause fire sales. We …

The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought … on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful … insufficient collateral compounded the effects of dangerously high leverage and resulted in undercapitalization and excessive risk …

to a liquidity regulation that is very similar to Basel III's Liquidity Coverage Ratio (LCR). We find that most banks …We investigate 62 Dutch banks' liquidity behaviour between January 2004 and March 2010, when these banks were subject … the regulation. More solvent banks hold fewer liquid assets against their stock of liquid liabilities, suggesting an …

global liquidity flows include monetary policy in advanced economies and risk conditions. At the same time, the sensitivities … driving risk migration from banks to nonbank financial institutions. Risk sensitivities and flightiness of global liquidity …Global liquidity flows are largely channeled through banks and nonbank financial institutions. The common drivers of …

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 …