' liquidity. In this note, we identify some indicators of funds' liquidity profiles, and examine them in a sample of bank loan (BL …Assessing liquidity transformation risks in MFs is difficult, largely due to a lack of detailed data on fund assets … riskier assets and, thus, for which vulnerabilities associated with liquidity transformation are generally most salient. We …

This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of … asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are … presented and how these are interconnected and how they might affect a financial institution's liquidity risk. When managing the …

Interest rate risk is the exposure of a bank's financial condition to adverse movements in interest rates. Changes in … interest rates affect a bank's earnings by changing its net interest income and also affect the underlying value of the bank … for assessing a bank's interest rate risk exposure: earnings perspective and economic value perspective. Changes in banks …

We provide new international evidence for a monetary policy liquidity transmission channel in the United States, United … channel, we rely on a nonlinear and international economic set-up to distinguish between times of liquidity crisis and non …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

We examine portfolio trading and its impact on corporate bond liquidity. Our theoretical framework identifies how … trading is generally beneficial to bond market liquidity, particularly so for riskier and illiquid bonds. However, we also … show that these positive benefits do not always arise, and that it becomes a costly solution for liquidity provision when …