This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk … through public credit registries is negatively associated with future crash risk after controlling for other predictors of … crash risk. This finding suggests that banks are less likely to experience stock price crash when they share more borrower …

This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for … the economy. Due to liquidity and endogenous default, the transmission mechanism of shocks is well defined, and their …

This paper develops a debt-run model to study the effects of liquidity injections on debt markets in the presence of a … terms of debt. We show that when equityholders have a large bargaining power, liquidity injections into distressed firms can …

liquidity and solvency shocks. Extending the work by Cao & Illing (2009a, b), it is shown that systemic liquidity shortage … extra cost for banking regulation and makes some schemes that are optimal under pure illiquidity risks (such as liquidity …

We study solvency contagion risk in the UK banking system from 2008 to 2015. We develop a model that only accounts for …

riskiness to continuous random variables. For many continuous random variables, the risk measure is equal to the worst-case risk … measure, i.e. the maximal possible loss incurred by that gamble. We also extend the Foster-Hart risk measure to dynamic …

the international liquidity management aspect of sterilization over the traditional monetary one, a re-focus that seems … the implementation and effectiveness of this policy via sterilization. The greatest risk of policy arises in situations … liquidity management issues more generally …