. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a … liquidity constraints is not straight- forward, since the presence of a liquidity policy leads to externalities. We argue that …

. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … policy specifies state-dependent liquidity requirements that a portfolio should obey. To comply with the liquidity policy, a … liquidity constraints is not straight-forward, since the presence of a liquidity policy leads to externalities. We argue that …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …