We study efficiency properties of competitive economies in which banks provide liquidity insurance and interact on … secondary asset markets. While all banks are subject to extrinsic risk, a bank's portfolio choice determines whether it is prone …

provided liquidity against a range of assets during 2008-09. Dealers with lower equity returns and greater leverage prior to … liquidity in explaining dealer behavior. The results suggest that both financial performance and balance sheet liquidity play a …

subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable … assets with the cost of greater risk of a run by bank creditors. Changes in the interest rate affect the price and amount of …

subject to rollover risk. A bank's optimal borrowing trades off the benefit from investing additional funds into profitable … assets with the cost of greater risk of a run by bank creditors. Changes in the interest rate affect the price and amount of …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

-sheet transparency. We explain the asymmetry in risk transfer between the sovereign and the banking sector, following the introduction of …

transparency. We explain the asymmetry in risk-transfer between sovereign and banking sector, following the introduction of a …

-down, stress-testing framework to quantify systemic risk. The key transmission mechanism is a two-way interaction between the … assets by secondary market investors. This hampers a troubled bank's recourse to liquidity and increases the incidence of …

stability. Using a theoretical model, we show that a sudden increase in sovereign default risk may lead to liquidity issues in …This paper analyses the impact of different treatments of government bonds in bank liquidity regulation on financial … the banking sector, implying the insolvency of a significant number of banks. Liquidity requirements do not contribute to …