Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw …

We model a safe asset market with investors valuing safety, investors valuing liquidity, and constrained dealers. While … safety investors and liquidity investors can interact symbiotically with offsetting trades in times of stress, we show that … liquidity investors' strategic interaction harbors the potential for selffulfilling fragility. Surprisingly, standard flight to …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw …

I construct a tractable model to evaluate the liquidity shock hypothesis that exogenous shocks to equity market … liquidity are an important cause of the business cycle. After calibrating the model, I find that a large and persistent negative … liquidity shock can generate large drops in investment, employment and output. Contrary to the hypothesis, however, a negative …

study liquidity reallocation in this interbank network using a novel dataset of all interbank loans settled between European … banks. We show the existence of a centrality premium when banks act as intermediaries of liquidity: banks with a one …

, and makes relatively healthy banks, and hence potential asset buyers, reluctant to buy. The liquidity of the market …

emerging economy, and those affecting borrowing from foreign lenders. This "dual liquidity" model offers a parsimonious …