between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were … regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction … risk averse in an environment where there is no interbank market and liquidity regulation. Introducing a buoyant interbank …

Did the increase in counterparty risk perception in the interbank market since autumn 2007 contribute to the severe …

relationships benefit banks in hedging liquidity risk. We also document that central bank liquidity increments are associated with a …This paper identifies bank-specific-characteristics and market conditions that contribute to determine prices and … tightening. Besides, small banks are found to suffer more as their credit risk and liquidity risk increase. We show that lending …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though …

This paper analyses interbank risk using the information content of basis swap (BS) spreads, floating … risk are associated with regime shifts. Shocks to aggregate liquidity are also important for describing persistent changes … in BS spreads. Sovereign risk and risk aversion are relevant factors explaining transitory fluctuations …