This study investigates the amount of liquidity that is necessary to settle a given network of financial obligations … a flow network technique to investigate how the interconnected feature could affect the required liquidity. Our main … fundamental perspective of how a hub or other network structures affect the required liquidity. We further investigate the …

liquidity gap report (LGR) shows if a liquidity shortcoming appears in the future and how high is the amount a bank would have … crisis of past decades. Liquidity risks usually occur as a consequence of other kinds of risks, hence analysing scenarios in … a prospective manner is essential for the assessment if the bank can fulfill its obligations as they come due and if its …

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance … constitutes a shock to market makers’ balance sheets and thus affects their capacity to intermediate trades. Using trade …-by-trade data from sovereign bond markets, we show that liquidity provision by CCP members decreased to a lesser extent following …

banks had a large impact on exposed bonds' liquidity. Moreover, based on these ties, we show that bond mutual fund panic …

findings infer that increases in bank funding liquidity increase both risk-weighted assets and liquidity creation, and deposit …The purpose of this study is to investigate the impact of funding liquidity risk on the banks' risk-taking behavior. To … funding liquidity increases the banks' risk-taking of US commercial banks. Furthermore, banks with higher deposits are less …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

liquidity provision and the roles of the public budget and the central bank. The comparison also reveals that the role of fiscal … financial stability. This paper extends the existing research by zooming in on the specific topic of liquidity provision to … banks in resolution. It examines the provision of liquidity in the United States, the United Kingdom, Japan, Canada and the …

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

as the severity of fire-sale problems and liquidity crises. In the basic framework of an individual bank’s decisions, we …This paper proposes a positive theory of the link between banks’ capitalisation and their liquidity-risk taking as well … find that banks’ incentives to hold liquidity for precautionary reason are increasing with their capital. In a continuum …