This paper studies liquidity risk at the six largest U.S. banks. The starting point is the stress tests performed under … the Liquidity Coverage Ratio (LCR) regulation, which compare a bank's liquid assets to its loss of cash in a stress … liquidity crisis for 30 days without running out of cash. This paper argues, however, that some of the assumptions in the LCR …

This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil … propagation of liquidity shocks within the interbank market, while predicting liquidity crashes characterised by changed dynamics …. We show that liquidity shocks, originating from movements of the spread between the Asset Backed Commercial Paper and T …

This paper studies liquidity risk at the six largest U.S. banks. The starting point is the stress tests performed under … the Liquidity Coverage Ratio (LCR) regulation, which compare a bank’s liquid assets to its loss of cash in a stress … liquidity crisis for 30 days without running out of cash. This paper argues, however, that some of the assumptions in the LCR …

-sectional differences in response to liquidity risk depend on the banks' shares of core deposit funding. By contrast, differences across …While the balance sheet structure of U.S. banks influences how they respond to liquidity risks, the mechanisms for the … global banks (those with foreign affiliates) are associated with ex ante liquidity management strategies as reflected in …