riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

eliminates failures but stops lending for larger liquidity risks whereas a liquidity ratio might be a way to reduce risk …Business cycles imply liquidity risks for banks. This paper explores how these risks influence bank lending over the … emerge, depending on the magnitude of liquidity risks. In this context, regulatory stability-enhancing measures have some …

innovation was to make capital charges more sensitive to risk. Using data from the German credit register, and employing a … approach. Interestingly, however, we find that risk models used for regulatory purposes tend to underpredict actual default …

information about liquidity risk. … discussion of the actual implications for liquidity. In this paper, we provide an approximation of the liquidity development in …

to smooth consumption over time and because they provide collateral and liquidity services. We characterize a recursive … and contemporaneous costs due to lost collateral and liquidity are essential to generate these empirically plausible …