We present a general framework for measuring the liquidity risk. The theoretical framework defines risk measures that … incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement model. The liquidity …

liquidity. The analytical results are derived for linear market impact. As in the case of infinite liquidity (Schmidt, 2003 …

balance sheet. In particular, funding costs, default risk and liquidity risk are considered. A valuation framework is … risk of the bank holding the derivative, and the funding valuation adjustment that some authors have proposed to include … the cost of funding into the valuation.This paper investigates the valuation of derivatives and other assets as part of a …

to meet funds’ liquidity needs to cover variation margin calls on derivatives under a range of stress scenarios. The … liquidity buffers to meet the calls. As a result, they are likely to redeem MMF shares, procyclically sell assets and draw on … further work to assess the potential role of macroprudential policies for non-banks, particularly regarding liquidity risk in …

composite liquidity index and five different types of liquidity measures. We find that liquidity shocks, including both funding …We explore whether and how liquidity factors influence risk transfers between commodity and stock markets using a … liquidity and market liquidity, are positively associated with comovements between commodity and stock markets after 2000 …

It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on … liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers …. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals …