Narrow search
Showing 1 - 10 of 17,184
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - In: The North American journal of economics and finance : a … 42 (2017), pp. 346-358
Persistent link: https://www.econbiz.de/10011938136
Cover Image
Optimal portfolio choice with crash and default risk
Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31
Persistent link: https://www.econbiz.de/10013371220
Cover Image
Efficiency-stability trade-off in financial systems: a multi-objective optimization approach
Alexandre, Michel; Michalak, Krzystof; Silva, Thiago … - 2022
Persistent link: https://www.econbiz.de/10013461268
Cover Image
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