We construct unique measures which allow to discuss the financial stability of banking systems with respect to funding liquidity risk. We quantify the maximal proportional price shock a banking system can sustain without downward spiralling illiquid asset prices. It follows that an absolute and...

This paper sheds light on Swiss franc LIBOR futures, which are often used to derive interest rate expectations. We show that the differences between LIBOR futures and realized rates (excess returns) are, on average, positive over the last 25 years. Using interest rate surveys, we decompose...