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Pension fund's illiquid assets allocation under liquidity and capital requirements

Broeders, Dirk; Jansen, Kristy A. E.; Werker, Bas J. M. - In: Journal of pension economics and finance : JPEF 20 (2021) 1, pp. 102-124

Persistent link: https://www.econbiz.de/10012404062

A critical evaluation of the sensitivity of a bank's balance sheet to change when optimizing for capital requirements under Basel

Cronje, F.; Rooyen, J. H. van - In: Corporate ownership & control : international … 11 (2013/14) 1, pp. 102-116

Persistent link: https://www.econbiz.de/10011327510

The LIX : a model-independent liquidity index

Guillaume, Florence - In: Journal of banking & finance 58 (2015), pp. 214-231

Persistent link: https://www.econbiz.de/10011543981

Managing liquidity buffer through core liquidity portfolio

Chagwiza, Wilbert; Garira, Winston; Moyo, Simiso - In: Investment management and financial innovations 12 (2015) 1, pp. 70-77

Persistent link: https://www.econbiz.de/10010515774

Measuring bond-level liquidity

Konstantinovsky, Vadim; Ng, Kwok Yuen; Phelps, Bruce D. - In: The journal of portfolio management : a publication of … 42 (2016) 4, pp. 116-128

Persistent link: https://www.econbiz.de/10011686109

Optimization of Constrained Liquidity Management

Tawfik, Maged - 2018

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …

Persistent link: https://www.econbiz.de/10012932264