This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of … asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are … presented and how these are interconnected and how they might affect a financial institution's liquidity risk. When managing the …

In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could … influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure …, the simply adding of the two risk measure, would underestimate the risk. Hence another approach, by modeling the liquidity …

Liquidity is a key resource that banks have to manage on a daily basis. Large banking groups face the question of how … to optimally allocate and generate liquidity: in a central liquidity hub or in many decentralized branches across … show that volatility is a key driver of the degree of (de-)centralization. As expected, in a deterministic setup liquidity …