We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

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 formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

optimization, as well as liquidity risk, is crucial, as explained in the chapter “Theoretical and practical foundations of … liquidity-adjusted value-at-risk (LVaR): optimization algorithms for portfolio selection and management” of the recently …Over the past few days, alarm bells have been ringing for the risk of recession in the world’s leading economies …

arising from a fund's assets, investor risk reflecting the likelihood that a fund's shareholders will redeem shares … disruptively, and sponsor risk due to uncertainty about MMF sponsors' support for distressed funds. I find that during the run on … three types of risk. In contrast, as the asset-backed commercial paper (ABCP) crisis unfolded in 2007, many MMFs suffered …

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the … periods, the underlying risk forecast models produce similar risk readings; hence, model risk is typically negligible. However … the reliability of risk readings. Finally, particular conclusions on the underlying reasons for the high model risk and …