Cao, Jin (contributor); Illing, Gerhard (contributor) - 2008
Traditionally, aggregate liquidity shocks are modelled as exogenous events. Extending our previous work (Cao & Illing …
No. 2008/23
Endogenous Systemic Liquidity Risk
Jin Cao and Gerhard Illing
Center for Financial … Working Paper No. 2008/23
Endogenous Systemic Liquidity Risk
Jin Cao
1
and Gerhard Illing
2
First Version …