Blar i Arbeidsnotater / Working Papers på emneord "liquidity risk"
Viser treff 1-4 av 4
-
Central Clearing and Risk Transformation
(Working Papers;3/2017, Working paper, 2017)The clearing of over-the-counter transactions through central counterparties (CCPs), one of the pillars of financial reform following the crisis of 2007-2008, has promoted CCPs as key elements of the new global financial ... -
Illiquidity, Insolvency, and Banking Regulation
(Working Papers;13/2011, Working paper, 2011)This paper provides a compact framework for banking regulation analysis in the presence of uncertainty between systemic liquidity and solvency shocks. It explains the asset price anomalies and bank lending freeze during ... -
The Risk Components of Liquidity
(Working Papers;3/2008, Working paper, 2008)Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ... -
What Captures Liquidity Risk? a Comparison of Trade and Order Based Liquidity Factors
(Working Papers;3/2007, Working paper, 2007)Is the effect of liquidity risk on asset prices sensitive to our choice of liquidity proxy? In addressing this fundamental question, we achieve two main results. First, when we estimate factor models on a broad range of ...