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Optimization of Constrained Liquidity Management
Tawfik, Maged - 2018
A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …
Persistent link: https://www.econbiz.de/10012932264
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Optimism leads to optimality : ambiguity in network formation
Bayer, Péter; Guerdjikova, Ani - 2021
We analyze a model of endogenous two-sided network formation where players are affected by uncertainty in their opponents' decisions. We model this uncertainty using the notion of equilibrium under ambiguity (Eichberger and Kelsey, 2014). Unlike the set of Nash equilibria, the set of equilibria...
Persistent link: https://www.econbiz.de/10013336333
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Managing liquidity buffer through core liquidity portfolio
Chagwiza, Wilbert; Garira, Winston; Moyo, Simiso - In: Investment management and financial innovations 12 (2015) 1, pp. 70-77
Persistent link: https://www.econbiz.de/10010515774
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The LIX : a model-independent liquidity index
Guillaume, Florence - In: Journal of banking & finance 58 (2015), pp. 214-231
Persistent link: https://www.econbiz.de/10011543981
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Measuring bond-level liquidity
Konstantinovsky, Vadim; Ng, Kwok Yuen; Phelps, Bruce D. - In: The journal of portfolio management : a publication of … 42 (2016) 4, pp. 116-128
Persistent link: https://www.econbiz.de/10011686109
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Economic Growth, Liquidity, and Bank Runs
Ennis, Huberto M. - 2013
We construct an endogenous growth model in which bank runs occur with positive probability in equilibrium. In this setting, a bank run has a permanent effect on the levels of the capital stock and of output. In addition, the possibility of a run changes the portfolio choices of depositors and of...
Persistent link: https://www.econbiz.de/10013089523
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Optimal Network Compression
Amini, Hamed - 2020
This paper introduces a formulation of the optimal network compression problem for financial systems. This general formulation is presented for different levels of network compression or rerouting allowed from the initial inter-bank network. We prove that this problem is, generically, NP-hard....
Persistent link: https://www.econbiz.de/10012825191
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A critical evaluation of the sensitivity of a bank's balance sheet to change when optimizing for capital requirements under Basel
Cronje, F.; Rooyen, J. H. van - In: Corporate ownership & control : international … 11 (2013/14) 1, pp. 102-116
Persistent link: https://www.econbiz.de/10011327510
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Modernising intra-day liquidity optimisation for commercial banks
Feuillette, Jeremie; Towning, Will; Soramäki, Kimmo - In: Journal of digital banking 8 (2023) 1, pp. 58-64
Persistent link: https://www.econbiz.de/10014364593
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What is the minimal systemic risk in financial exposure networks?
Diem, Christian; Pichler, Anton; Thurner, Stefan - In: Journal of economic dynamics & control 116 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012503232