We investigate the channel through which fluctuations in the market liquidity of real-sector repo collateral cause … productive capital as repo collateral to fund the margin for their arbitrage positions. A tiny drop in the market liquidity of …), and can easily incur a simultaneous repo run and arbitrage crashes, where liquidity in several markets dry up altogether …

We estimate the pricing of sovereign risk for a large number of countries within and outside of Europe, before and … determinant of market-based sovereign risk, and find evidence of mispricing in PIIGS given current fiscal space and other current … Europe that, before the crisis (2007), were closest in terms of fiscal space (debt/tax). We find that PIIGS default risk is …

future robustness. -- Contagion ; network models ; systemic risk ; liquidity risk ; financial crises …, and asset market liquidity. Our findings suggest that financial systems exhibit a robust-yet-fragile tendency: while the …

We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …

financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a … risk premium. This paper tests for the existence of such a premium in US and global equity markets, in an asset pricing …

The paper reports the outcome of the stress-testing of liquidity risk in the TARGET2 payment system, with the study … resilience of the system, defined as the network of its participants, and the appropriateness of liquidity levels under tightened … liquidity conditions. The scenarios analysed are based on extreme shocks to the value of collateral of different levels and …

This contribution addresses the impact of high-frequency electronic liquidity provision strategies on financial markets … the model and the corresponding changes related to various measures of market quality and market systemic risk are …

We investigate liquidity shocks and shocks to fundamentals during financial crises at commercial banks, investment … banks, and hedge funds. Liquidity shock amplification models assume that widespread funding problems cause fire sales. We …

This paper develops the building blocks for a legal theory of finance. LTF holds that financial markets are legally …