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This paper studies the relationship between liquidity demand risk, deposit diversification and insurance in 12 … countries during the period 2005-2014. We capture liquidity risk by focusing on the unfunded loan commitments. We find that … higher diversification in the deposit base can reduce the impact of liquidity demand risk during the crisis by decreasing the …
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We examine how investors' perception of bank balance sheet risk evolved before and during the March-April 2023 bank run. To do so, we estimate the covariance ("beta") of bank excess stock returns with returns on factors constructed from long-short portfolios sorted on shares of uninsured...
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