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

The interplay between liquidity and credit risks in the interbank market is analyzed. Banks are hit by idiosyncratic … random liquidity shocks. The market may also be hit by a bad news at a future date, implying the insolvency of some … possible contingency, banks currently long of liquidity ask a liquidity premium for lending beyond a short maturity, as a …

incorporate credit and liquidity risks. Indeed, a bank that lends on the unsecured market requires compensations for facing (a … us to decompose the whole term structure of spreads into credit and liquidity components. Our no-arbitrage econometric … recent easing in the euro interbank market comes from a decrease in liquidity-related risk premia …