Market Liquidity Risk - An Overview

Market liquidity risk : an overview

Essays on Stock Market Liquidity and Liquidity Risk Premium

..............................................................................................................................v Chapter One: Introduction ...................................................................................................1 Chapter Two: Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets 3

Measuring Market Liquidity Risk - Which Model Works

Russia/ltcm and Market Liquidity Risk

As recounted by Stefan Walter in the last issue of "The Financial Regulator" (Walter 1999), whereas the Russia/LTCM crisis of 1998 raised a number of significant regulatory concerns (see also Basel Committee 1999), the real danger arose from the market liquidity failure in what are traditionally the most liquid markets in the world, namely those in the US. This article seeks to complement that ...

Funding Liquidity and Market Liquidity

Recent empirical studies have shown an increasing co-movement between fund and market liquidity, which is driven by common factors such as monetary shocks. Modeling this comovement becomes desirable to evaluate policies relating to liquidity and financial instability. This paper establishes a monetary model with capital to explain the dynamic interactions between funding and market liquidity in...