The liquidity mechanics of dealer banks in the market-based credit system
Sign Up to like & getrecommendations! Published in 2021 at "Economic Modelling"
DOI: 10.1016/j.econmod.2021.105648
Abstract: Abstract Are US government bonds (Treasuries) as good as cash? Conventional wisdom in academia and industry says that their safety and liquidity make Treasuries a cash-substitute. This paper shows that Treasuries stop being as good… read more here.
Keywords: liquidity; dealer banks; market; liquidity risk ... See more keywords
System stress testing of bank liquidity risk
Sign Up to like & getrecommendations! Published in 2017 at "Journal of International Money and Finance"
DOI: 10.1016/j.jimonfin.2017.02.001
Abstract: Using a stress test methodology for bank liquidity risk we estimate the aggregate liquidity shortfall in the U.S. commercial banking system at the height of 2007–09 crisis, identifying key sources of funding vulnerabilities and the… read more here.
Keywords: liquidity risk; liquidity; system; bank liquidity ... See more keywords
Funding Liquidity Risk and the Dynamics of Hedge Fund Lockups
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109020000393
Abstract: Abstract We exploit the expiring nature of hedge fund lockups to create a new measure of funding liquidity risk that varies within funds. We find that hedge funds with lower funding risk generate higher returns,… read more here.
Keywords: liquidity risk; fund lockups; risk; funding liquidity ... See more keywords
Market pricing of liquidity risk: evidence from China
Sign Up to like & getrecommendations! Published in 2019 at "China Finance Review International"
DOI: 10.1108/cfri-01-2019-0013
Abstract: Purpose The purpose of this paper is to investigate whether liquidity risk (i.e. the returns’ vulnerability to the unexpected changes in overall market liquidity) is a priced risk factor in China. Moreover, it investigates the… read more here.
Keywords: liquidity; risk; market pricing; liquidity risk ... See more keywords
Risk reporting appraisal in post-revolutionary Tunisia
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Financial Reporting and Accounting"
DOI: 10.1108/jfra-05-2016-0040
Abstract: Purpose This paper aims to investigate the determinants of operational and liquidity risk reporting for the Tunisian insurance and banking sectors after the outbreak of the Tunisian revolution on 14 January 2011. Design/methodology/approach A manual… read more here.
Keywords: risk reporting; risk; board; liquidity risk ... See more keywords
How to explain the liquidity risk by the dynamics of discretionary loan loss provisions and non-performing loans? The impact of the global crisis
Sign Up to like & getrecommendations! Published in 2019 at "Managerial Finance"
DOI: 10.1108/mf-12-2017-0520
Abstract: PurposeThe purpose of this paper is to investigate the impact of discretionary loan loss provisions (DLLPs) and non-performing loans (NPLs) on the liquidity risk of both Islamic banks (IBs) and conventional banks (CBs) before and… read more here.
Keywords: liquidity risk; liquidity; loan; global crisis ... See more keywords
Bank Liquidity Risk and Performance
Sign Up to like & getrecommendations! Published in 2017 at "Review of Pacific Basin Financial Markets and Policies"
DOI: 10.1142/s0219091518500078
Abstract: This study employs an alternative measure of liquidity risk to investigate its determinants by using an unbalanced panel dataset of commercial banks in 12 advanced economies over the period 1994–2006. Dependence on liquid assets for… read more here.
Keywords: liquidity; liquidity risk; performance; bank liquidity ... See more keywords
Intelligent Evaluation and Early Warning of Liquidity Risk of Commercial Banks Based on RNN
Sign Up to like & getrecommendations! Published in 2022 at "Computational Intelligence and Neuroscience"
DOI: 10.1155/2022/7325798
Abstract: With the downward pressure of China's economy and the impact of the epidemic, the accumulated market risk has increased the liquidity pressure of the banking industry, and the mismatch between deposit maturity and loan maturity… read more here.
Keywords: commercial banks; risk commercial; liquidity risk; risk ... See more keywords
Bank liquidity and the risk-taking channel of monetary policy: An empirical study of the banking system in China
Sign Up to like & getrecommendations! Published in 2022 at "PLOS ONE"
DOI: 10.1371/journal.pone.0279506
Abstract: This paper addresses the impact of bank liquidity on risk-taking behaviour of Chinese banks, and provides evidence for a risk-taking channel of monetary policy operating through bank liquidity. By using bank-level panel data from 123… read more here.
Keywords: risk taking; bank liquidity; bank; liquidity risk ... See more keywords
Assessment of Liquidity Risk Management in Islamic and Conventional Banks - An Empirical Study
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Business Excellence"
DOI: 10.1504/ijbex.2019.10022353
Abstract: The aim of this study was to assess liquidity risk management (LRM) practices in Jordanian Islamic and conventional banks during the period (2013-2017). Data used were comprised from six banks, which consisted of three Islamic… read more here.
Keywords: liquidity risk; risk management; conventional banks; study ... See more keywords
Hedging with Liquidity Risk under CEV Diffusion
Sign Up to like & getrecommendations! Published in 2020 at "Risks"
DOI: 10.3390/risks8020062
Abstract: We study a discrete time hedging and pricing problem in a market with the liquidity risk. We consider a discrete version of the constant elasticity of variance (CEV) model by applying Leland’s discrete time replication… read more here.
Keywords: hedging liquidity; liquidity risk; risk cev; liquidity ... See more keywords