The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...

With the Great Recession and the regulatory reform that followed, the search for reliable means to capture systemic risk and to detect macrofinancial problems has become a central concern. In the United States, this concern has been institutionalized through the Financial Stability Oversight...

How liquidity risk (beta) gets compensated is not well addressed so far. I hypothesize that liquidity risk (beta) get compensated asymmetrically. In this paper, I pay special attention to the crisis periods which experience large negative shocks on the market liquidity to study the nature of...