The failure of Lehman Brothers highlighted the severe lapses in risk management and regulatory oversight that brought … on and intensified the global financial crisis. This paper presents a structural credit risk model that provides useful … insufficient collateral compounded the effects of dangerously high leverage and resulted in undercapitalization and excessive risk …

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 …

shock. Our contagion mechanism operates through a dual channel of liquidity and solvency risk. The joint modelling of banks …This paper shows how the combined endogenous reaction of banks and investment funds to an exogenous shock can amplify … model of contagion propagation using a very large and granular data set for the euro area. Based on the economic shock …

directly preceding and following the Lehman collapse in September 2008. The default of Lehman Brothers was a shock to the … liquidity tightened after the Lehman collapse but there is no evidence of fire sales in the German banking sector. Instead, we … observe a broad-based flight to liquidity. The European Central Bank's unconventional monetary policy had a strong impact on …

We study the endogenous determination of corporate debt maturity in a setting with default risk. We assume that firms … projects with positive but small net present value, firms may be forced to default in the first phase. We call this liquidity … risk. The technology is such that earnings can switch to a higher (but riskier) level. In this second phase firms have …

endogenous financial instability derived from Keynes's theory of liquidity and expectations. Conventional expectations allow …This paper investigates the determinants of liquidity crises based on the dynamics of banking and finance under … availability of data that can proxy for uncertainty, this approach seems to explain better than others how a relatively small shock …

-term bondholders and (mostly) risk-taking long-term bondholders. We establish that investor demands for safety create a negative … common measures of bank liquidity. Consistent with our model, our bank-level empirical analysis of these capital-liquidity … tradeoffs show (1) that bank liquidity measures have a strong and negative relationship to its capital ratio for both large and …

An epidemiologist calculating the risk of a localised epidemic becoming a global pandemic would investigate every … contact would underestimate the pandemic risk if the disease could also spread through the air. Likewise, calculating the … quantity of financial system risk requires practitioners to understand all of the channels through which small and local shocks …

We study the role of liquidity management tools (LMTs) in mitigating financial fragility in investment funds during the …

We study the role of liquidity management tools (LMTs) in mitigating financial fragility in investment funds during the …