common measures of bank liquidity. Consistent with our model, our bank-level empirical analysis of these capital-liquidity … tradeoffs show (1) that bank liquidity measures have a strong and negative relationship to its capital ratio for both large and … small banks, and (2) that this relationship has weakened with the advent of stronger liquidity regulation. Our results …

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 …

In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could … influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure …, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …