. Moreover, although they mitigate credit risk, CCPs create liquidity risks, because they rely on participants to provide cash …. Such requirements increase with both market volatility and default; consequently, CCP liquidity needs are inherently … financial institutions default. Liquidity-focused macroprudential stress tests could help to assess and manage this systemic …

This paper examines the linkage between bank liquidity creation and systemic risk. Using quarterly data on U.S. bank … holding companies from 2003 to 2016, we document that liquidity creation decreases systemic risk at the individual bank level …-specific tail risk and systemic linkage, we find that the riskiness of individual banks is negatively linked to liquidity creation …

We develop a model in which margin procyclicality and the propensity for liquidity hoarding interact to generate a … systemic liquidity crisis. In this model, banks lend and borrow in the interbank market to mitigate liquidity risk and trade … procyclicality in the derivatives market can spillover to the interbank market leading to systemic liquidity risk. Interconnectedness …

liquidity. To this end, we develop an environment where banks offer insurance to their depositors against both idiosyncratic and … aggregate real uncertainty, by holding a portfolio of liquidity and productive illiquid assets. Moreover, banks' asset … sufficiently low and the depositors are sufficiently risk averse, the banks first employ liquidity and then liquidate the …

We find that banks subject to the Liquidity Coverage Ratio (LCR) create less liquidity per dollar of assets in the post …-off between lower liquidity creation and greater resilience from liquidity regulations …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

This paper examines whether banks' liquidity and maturity mismatch decisions are affected by the choices of competitors … and the impact of these coordinated funding liquidity policies on financial stability. Using a novel identification … strategy where interactions are structured through decision networks, I show that banks do consider their peers' liquidity …

generated by the firm but borne by society. Recent advances in measuring liquidity creation (Berger and Bouwman, 2009) and … that CEO pay-performance incentives reduce both positive liquidity creation externalities and negative systemic risk …: Restrictions on executive pay aimed at reducing systemic risk likely necessitate a reduction in system-wide liquidity creation …

In this paper we introduce two measures, the Systemic Liquidity Buffer (SLB) and the Systemic Liquidity Shortfall (SLS …) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking … system. In contrast, the SLS focusses on the problematic banks which suffer a liquidity shortfall. These measures provide an …

We analyze the determinants of individual bank failures arising from solvency and liquidity shortages in a stylized … arising from solvency and liquidity shortages …