Dynamic balance sheet model with liquidity risk
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- Grzegorz Hałaj, 2016. "Dynamic Balance Sheet Model With Liquidity Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(07), pages 1-37, November.
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Cited by:
- Jane E. Ihrig & Edward Kim & Cindy M. Vojtech & Gretchen C. Weinbach, 2019.
"How Have Banks Been Managing the Composition of High-Quality Liquid Assets?,"
Review, Federal Reserve Bank of St. Louis, vol. 101(3).
- Jane E. Ihrig & Edward Kim & Ashish Kumbhat & Cindy M. Vojtech & Gretchen C. Weinbach, 2017. "How Have Banks Been Managing the Composition of High-Quality Liquid Assets?," Finance and Economics Discussion Series 2017-092, Board of Governors of the Federal Reserve System (U.S.).
- Hałaj, Grzegorz, 2018. "Agent-based model of system-wide implications of funding risk," Working Paper Series 2121, European Central Bank.
- Grzegorz Halaj & Sofia Priazhkina, 2021. "Stressed but not Helpless: Strategic Behaviour of Banks Under Adverse Market Conditions," Staff Working Papers 21-35, Bank of Canada.
- Calimani, Susanna & Hałaj, Grzegorz & Żochowski, Dawid, 2022.
"Simulating fire sales in a system of banks and asset managers,"
Journal of Banking & Finance, Elsevier, vol. 138(C).
- Calimani, Susanna & Hałaj, Grzegorz & Żochowski, Dawid, 2020. "Simulating fire sales in a system of banks and asset managers," Working Paper Series 2373, European Central Bank.
- Júdice, Pedro & Zhu, Qiji Jim, 2021. "Bank balance sheet risk allocation," Journal of Banking & Finance, Elsevier, vol. 133(C).
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More about this item
Keywords
asset structure; banking; optimal portfolio;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
NEP fields
This paper has been announced in the following NEP Reports:- NEP-NET-2016-06-25 (Network Economics)
- NEP-RMG-2016-06-25 (Risk Management)
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