, i.e. increased risk of default, in practice. The unified picture of CVA and liquidity introduced by Morini & Prampolini … liquidity. For a particular large complex financial institution that profited $2.5B from spread widening we show that including …

urgent when considering VaR is used daily to measure capital, risk limits and liquidity of trillions of dollars. VaR …

collateral confidence levels and high transaction value limits. However, these liquidity needs can be lowered by seasonal … liquidity costs associated with the operation of such a system. First we estimated the impact on settlement queues in the real …-time gross settlement system and calculated the costs of extra liquidity needed to dissolve the queues and support the continuous …

thresholds. We come up with a decomposition of the total contract's value in a risk-free component, a liquidity value adjustment …

Option markets have significant variation in liquidity across different option series. Illiquidity reduces the … attached to illiquid options. We find that this liquidity weighted scheme outperforms conventional schemes such as the …

It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on … liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers …. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals …

It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on … liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers …. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals …