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Investigating risk contagion initiated by endogenous liquidity shocks : evidence from the US and eurozone interbank markets

Eross, Andrea; Urquhart, Andrew; Wolfe, Simon - In: The European journal of finance 25 (2019) 1, pp. 35-53

Persistent link: https://www.econbiz.de/10012206955

The impact of CoCo bonds on systemic risk considering liquidity risk

Li, Ping; Guo, Yanhong; Meng, Hui - In: Quantitative finance 22 (2022) 2, pp. 385-406

Persistent link: https://www.econbiz.de/10013167761

The Aggregate Demand for Bank Capital

Harris, Milton - 2020

We propose a novel conceptual approach to transparently characterizing credit market outcomes in economies with multi-dimensional borrower heterogeneity. Based on characterizations of securities' implicit demand for bank equity capital, we obtain closed-form expressions for the composition of...

Persistent link: https://www.econbiz.de/10012856613

How do banks respond to increased funding uncertainty?

Ritz, Robert A.; Walther, Ansgar - 2014

Persistent link: https://www.econbiz.de/10010366299

Betas and Liquidity : Differences in Systematic Price Risk Due to Asymmetric Asset Liquidity and Correlated Funding Shocks

Umlauft, Roland - 2013

This research presents evidence for the existence of differences in asset beta risk in the liquidity cross-section of … assets due to correlated trading. It is argued that due to differences in liquidity or cost, most trading activity is … concentrated on the subset of liquid assets. In the presence of systematic wealth shocks this leads to an increase in beta risk for …

Persistent link: https://www.econbiz.de/10013090386

Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? : evidence from a stress test under a panel VAR methodology

Baltas, Konstantinos N.; Kapetanios, George; Tsionas, … - In: Journal of banking & finance 83 (2017), pp. 36-56

Persistent link: https://www.econbiz.de/10011816820

The effect of liquidity and solvency risk on the inclusion of bond covenants

Cook, Douglas O.; Fu, Xudong; Tang, Tian - In: Journal of banking & finance 48 (2014), pp. 120-136

Persistent link: https://www.econbiz.de/10010506929

Liquidity networks in banking

Orhun, Eda - In: Finance a úvěr 67 (2017) 2, pp. 104-118

Persistent link: https://www.econbiz.de/10011720700

Empirical tests on the liquidity-adjusted capital asset pricing model

Vu, Van; Chai, Daniel; Do, Viet - In: Pacific-Basin finance journal 35 (2015) 1, pp. 73-89

Persistent link: https://www.econbiz.de/10011538103

Investigating Risk Contagion Initiated by Endogenous Liquidity Shocks : Evidence from the US and Eurozone Interbank Market

Eross, Andrea - 2018

This paper investigates liquidity spillovers between the US and European interbank market during turbulent and tranquil … propagation of liquidity shocks within the interbank market, while predicting liquidity crashes characterised by changed dynamics …. We show that liquidity shocks, originating from movements of the spread between the Asset Backed Commercial Paper and T …

Persistent link: https://www.econbiz.de/10012936358