Abstract We study a preferred equity infusion government program set to mitigate interbank contagion. Financial institutions are prone to insolvency risk channeled through the network of interbank debt and to funding liquidity risk. The government seeks to maximize, under budget constraints,...

Purpose – The late 2000s Great Recession led to a surge of bank failures in the USA with nearly 300 banks failing from 2009 to 2010. Recalling the farm crises of the 1980s where the farm sector was pinpointed as one of the major precursors of such crises, this study is an attempt to validate...

Purpose – The purpose of this paper is to empirically analyze the effects of managerial overconfidence on debt maturity structure decisions in terms of liquidity risk and asset match in Chinese listed companies. Design/methodology/approach – Combining data from CSMAR with some default data...

Purpose – The purpose of this paper is to explore the price implication of a newly developed estimator of the bid-ask spread by Corwin and Schultz (2012). The paper focusses on whether the new measure as a liquidity proxy commands a significant premium. The research helps the understanding on...

This paper deals with the issues in the way the banks are managing risks in payments and settlement systems using netbanking within the legal frame of information technology in India compared to other SAARC members. It compared India with the SAARC members with respect to management of credit...

During the period 2011-12 of economic downturn characterized typically by economy wide loan defaults many banks in India are reported to have posted adequate levels of capital but experienced difficulties due to unsound liquidity management. In an attempt to examine the ease of liquidity...

Summary We introduce an intuitive method of enhancing low-frequency volatility measures used to compute Value-at-Risk (VaR) by incorporating intradaily liquidity information from the limit order book. Using the quote slope of Hasbrouck and Seppi (2001), a compound liquidity measure comprising...

Este documento estudia el impacto de los programas de compra de bonos soberanos implementados por el Banco Central Europeo desde 2014, centrándose en la dinámica del diferencial de rendimiento de los bonos soberanos de España y Portugal. El análisis confirma que, si bien los factores...

Purpose This paper aims to identify and analyze the similarities and differences of the liquidity risk determinants within conventional and Islamic banks. Design/methodology/approach This study uses a dynamic panel data approach to examine the relationship between liquidity risk and a set of...

Purpose The purpose of this paper is to study connections between interest rate risk and credit risk and investigate the inter-risk diversification benefit due to the joint consideration of these risks in the banking book containing sovereign debt. Design/methodology/approach The paper develops...