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 …

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 …

network statistics of the Dutch interbank market from mid-February 2008 through April 2011. We find that credit-risk … presence of relationship lending. Shocks to credit-risk uncertainty lead to extended periods of low market activity …

We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production …-driven uncertainty amplifies business cycle volatility, increases risk premia on asset prices and yields a new benefit from …