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Investigating risk contagion initiated by endogenous liquidity shocks : evidence from the US and eurozone interbank markets
Eross, Andrea; Urquhart, Andrew; Wolfe, Simon - In: The European journal of finance 25 (2019) 1, pp. 35-53
Persistent link: https://www.econbiz.de/10012206955
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SEC issues final rule on investment company liquidity risk management
Schwartz, Rachael Leah; Pugliese, Domenick; Bateman, … - In: The journal of investment compliance 18 (2017) 1, pp. 43-52
Persistent link: https://www.econbiz.de/10011662072
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Commonality in liquidity in the US corporate bond market
Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 86-129). 2016
Persistent link: https://www.econbiz.de/10011733594
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Hedging strategies for U.S. factor and sector exchange-traded funds during geopolitical events
Han, SeungOh - In: Finance research letters 65 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014552067
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Firm heterogeneity and credit risk diversification
Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612
Persistent link: https://www.econbiz.de/10003759687
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Firm heterogeneity and credit risk diversification
Hanson, Samuel G. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002636144
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Firm heterogeneity and credit risk diversification
Hanson, Samuel G. (contributor);  … - 2005
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...
Persistent link: https://www.econbiz.de/10003120648
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The liquidity management of institutional investors and the pricing of liquidity risk
Xing, Ran - 2016
Persistent link: https://www.econbiz.de/10011479488
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Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds
Anadu, Kenechukwu - 2020
Persistent link: https://www.econbiz.de/10012847219
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Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds
Anadu, Kenechukwu - 2019
Assessing liquidity transformation risks in MFs is difficult, largely due to a lack of detailed data on fund assets …' liquidity. In this note, we identify some indicators of funds' liquidity profiles, and examine them in a sample of bank loan (BL … riskier assets and, thus, for which vulnerabilities associated with liquidity transformation are generally most salient. We …
Persistent link: https://www.econbiz.de/10012864629