Purpose - This work seeks to investigate post-crisis measures banks have adopted in a bid to manage liquidity risk. It … financial meltdown. During the crisis, liquidity risk management disclosure was crucial for confidence building in market … participants. Design/methodology/approach - The study investigates if Basel II pillar 3 disclosures on liquidity risk management …

The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses …

run. Banks fail to hedge precisely when the exposure to a shock is most severe, just when risk management would have the …Shocks to a bank's ability to raise liquidity at short notice can trigger depositor panics. Why don't banks take a more … active role in managing these risks? We study contingent risk management (hedging) in a standard global-games model of a bank …

We develop a general equilibrium model of self-fulfilling bank runs in a setting without aggregate risk. The key … well as with the provision of emergency liquidity by central banks …

We develop a general equilibrium model of self-fulfilling bank runs in a setting without aggregate risk. The key … redemption penalties as well as with the provision of emergency liquidity by central banks …

that time in general resilient to the default of large banks, i.e. did not exhibit substantial contagion risk. Even though … up to four contagion defaults could occur due to an exogenous shock, the system-wide 99.9% VaR barely exceeds 1.5% of …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a … model that focuses on systemic aspects of liquidity and its links with solvency conditions accounting for pertinent … account in a stylised fashion. In particular, we investigate the importance of the channels through which the funding shock to …

We study solvency contagion risk in the UK banking system from 2008 to 2015. We develop a model that only accounts for …

This paper investigates the relationship between the two major sources of bank default risk: liquidity risk and credit … developed by the body of literature on bank stability risk in general and credit and liquidity risk in particular. They also … serve as an underpinning for recent regulatory efforts aimed at strengthening banks (joint) risk management of liquidity and …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using … plan-level data, we find little evidence that 401(k) plan sponsors match the risk profile of the TDFs in their plans to the …