This paper extends traditional payment system simulation analysis to counterparty liquidity risk exposures. The used … risk exposures. As comparison of liquidity risk projections to the available liquidity of participants in the system only …-quality liquid assets (HQLA) available at the group level to assess the overall liquidity risk that participants face in TARGET2. Our …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …