shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …

-shares of the same fund during the unprecedented liquidity crisis in March 2020. For an average bond or equity mutual fund … collective "dash for cash" by consumers and firms in need of liquidity at the outset of the COVID-19 pandemic was not the source …

liquidity risk, competitive banks offer demand deposits. We use global games to link the probability of a bank run to the … partial hedge against investment risk reduces the withdrawal incentives of investors for a given deposit rate. As a result of … the portfolio choice, (i) banks provide more liquidity ex ante (so banks offer a higher deposit rate), and (ii) the …

We document that higher measures of liquidity risk on banks balance sheets are associated with lower expected stock … returns. We first calculate a measure of liquidity risk, referred to as the liquidity gap (LG), which reflects how much of a … augmented with bond risk, market liquidity, and financial-size factors -- do not fully explain the cross section of bank stock …

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 …

We explicitly show what should be taken into account when the liquidity measure Liquidity at Risk (LaR) is applied to …