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The trade-off between liquidity risk and counterparty risk in money market networks
León, Carlos; Sarmiento, Miguel - In: The journal of financial market infrastructures 9 (2020) 2, pp. 27-53
Persistent link: https://www.econbiz.de/10012803304
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Applications of liquidity risk discovery using financial market infrastructures transaction archives
Heuver, Richard - 2020
Persistent link: https://www.econbiz.de/10012294786
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Interbank Risk Assessment – A Simulation Approach
Jager, Maximilian - 2020
that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …
Persistent link: https://www.econbiz.de/10012836322
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Dissecting Interbank Risk
Lafuente, Juan Angel - 2016
This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating … risk are associated with regime shifts. Shocks to aggregate liquidity are also important for describing persistent changes … in BS spreads. Sovereign risk and risk aversion are relevant factors explaining transitory fluctuations …
Persistent link: https://www.econbiz.de/10012981962
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Liquidity pools, risk sharing, and financial contagion
Saez, Lawrence; Shi, Xianwen - In: Journal of financial services research : JFSR 25 (2004) 1, pp. 5-23
Persistent link: https://www.econbiz.de/10001904932
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Interbank Liquidity Risk Transmission to Emerging Markets Amidst Financial Crises
Sifat, Imtiaz; Zarei, Alireza - 2021
We construct synthetic spreads representing funding liquidity risk in BRICS economies and examine whether stress in the … lengths and reach two conclusions: the stock market and corporate debt channels in BRICS economies are not risk transmitters …, and (b) government debt (local and sovereign) channels are regular vectors of funding liquidity risk. Deeper analysis of …
Persistent link: https://www.econbiz.de/10013219470
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Crisis management at cross-roads : challenges facing cross-border financial institutions at the EU level : a joint publication with the Centre for European Policy Studies (CEPS)
Ayadi, Rym (ed.); Lierman, Frank (ed.); Balling, Morten (ed.) - Conference "Crisis Management at Cross-Roads" <2009, …; … - 2010
On 16th November 2009, SUERF, CEPS and the Belgian Financial Forum coorganized a conference "Crisis management at cross-roads" in Brussels. All papers in the present volume are based on contributions at the conference and the SUERF Annual Lecture which followed the event.
Persistent link: https://www.econbiz.de/10011706117
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Stress-Testing of Liquidity Risk in Target2
Papsdorf, Patrick - 2017
The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study …
Persistent link: https://www.econbiz.de/10012962520
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Risk committee complexity and liquidity risk in the European banking industry
Galletta, Simona; Mazzù, Sebastiano; Scannella, Enzo - In: Journal of economic behavior & organization : JEBO 192 (2021), pp. 691-703
Persistent link: https://www.econbiz.de/10013188643
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Stress-testing of liquidity risk in TARGET2
Papsdorf, Patrick (contributor); Arciero, Luca (contributor) - Europäische Zentralbank / Group on TARGET2 Stress Testing - 2017
The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study …
Persistent link: https://www.econbiz.de/10011627053