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Understanding and Measuring Liquidity Risk: A Selection of Recent Research

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During the recent financial crisis, one of the forces set in motion by the initial losses on subprime-mortgage loans was a significant decline in the market liquidity of assets and in the ability of financial institutions to obtain funding in wholesale markets. In this article, the authors summarize recent research that clarifies the role of liquidity in destabilizing the financial system and examine the implications of this research for the recently announced financial system reforms, including Basel III.

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  • Céline Gauthier & Hajime Tomura, 2011. "Understanding and Measuring Liquidity Risk: A Selection of Recent Research," Bank of Canada Review, Bank of Canada, vol. 2011(Spring), pages 3-11.
    • Handle: RePEc:bca:bcarev:v:2011:y:2011:i:spring11:p:3-11
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    Cited by:

    1. Anténor-Habazac, Cassandre & Dionne, Georges & Guesmi, Sahar, 2018. "Cyclical variations in liquidity risk of corporate bonds," Working Papers 18-3, HEC Montreal, Canada Research Chair in Risk Management.
    2. Mohamed Dia & Amirmohsen Golmohammadi & Pawoumodom M. Takouda, 2020. "Relative Efficiency of Canadian Banks: A Three-Stage Network Bootstrap DEA," JRFM, MDPI, vol. 13(4), pages 1-25, April.

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