Funding liquidity risk has played a key role in all historical banking crises. Nevertheless, a measure based on … reveals funding liquidity risk. We can extract an insurance premium from banks' bids which we propose as measure of funding … liquidity risk. Using a unique data set consisting of all bids in the main refinancing operation auctions conducted at the ECB …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses …