Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance
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"Systemic risk analysis using forward-looking Distance-to-Default series,"
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"Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?,"
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"Stabilising virtues of central banks: (Re)matching bank liquidity,"
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- Gianfranco Gianfelice & Giuseppe Marotta & Costanza Torricelli, 2015.
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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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