Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance
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"Systemic risk analysis using forward-looking Distance-to-Default series,"
Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
- Martin Saldias Zambrana, 2010. "Systemic risk analysis using forward-looking distance-to-default series," Working Papers (Old Series) 1005, Federal Reserve Bank of Cleveland.
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- Jean-Loup, Soula, 2017.
"Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 302-313.
- Jean-Loup SOULA, 2015. "Measuring heterogeneity in bank liquidity risk: who are the winners and the losers?," Working Papers of LaRGE Research Center 2015-09, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
- Legroux, Vincent & Rahmouni-Rousseau, Imène & Szczerbowicz, Urszula & Valla, Natacha, 2022.
"Stabilising virtues of central banks: (Re)matching bank liquidity,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
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- Vincent Legroux & Imène Rahmouni-Rousseau & Urszula Szczerbowicz & Natacha Valla, 2022. "Stabilising virtues of central banks: (Re)matching bank liquidity," Post-Print hal-04459568, HAL.
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- Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2015.
"A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises,"
Applied Economics, Taylor & Francis Journals, vol. 47(2), pages 129-147, January.
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- Mr. Nicolas R Blancher & Ms. Srobona Mitra & Mrs. Hanan Morsy & Mr. Akira Otani & Tiago Severo & Ms. Laura Valderrama, 2013. "Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide," IMF Working Papers 2013/168, International Monetary Fund.
- Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2015.
"A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises,"
Applied Economics,
Taylor & Francis Journals, vol. 47(2), pages 129-147, January.
- Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2013. "A liquidity risk index as a regulatory tool for systemically important banks? An empirical assessment across two financial crises," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 13071, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
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Keywords
WP; put option; liquidity condition; option price; Liquidity; systemic risk; banks; stock returns; insurance; liquidity risk; market liquidity; liquidity friction; liquidity insurance premium; Liquidity risk; Liquidity management; Liquidity requirements; Global; Europe;All these keywords.
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