منابع مشابه
Volume, liquidity, and liquidity risk ¬リニ
Many classes of microstructure models, as well as intuition, suggest that it should be easier to trade when markets are more active. In the data, however, volume and liquidity seem unrelated over time. This paper offers an explanation for this fact based on a simple frictionless model in which liquidity reflects the average risk-bearing capacity of the economy and volume reflects the changing c...
متن کاملLiquidity Risk and Correlation Risk :
The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced by a significant imbalance in their quotes towards sales. We also document that simultaneously, there was excess comovement in the fixed-income s...
متن کاملLiquidity and Credit Risk
We develop a structural bond valuation model to simultaneously capture liquidity and credit risk. Our model implies that renegotiation in financial distress is influenced by the illiquidity of the market for distressed debt. As default becomes more likely, the components of bond yield spreads attributable to illiquidity increase. When we consider finite maturity debt, we find decreasing and con...
متن کاملLiquidity and Risk Management
This paper provides a model of the interaction between risk-management practices and market liquidity. Our main finding is that a feedback effect can arise. Tighter risk management leads to market illiquidity, and this illiquidity further tightens risk management. Risk management plays a central role in institutional investors’ allocation of capital to trading. For instance, a risk manager may ...
متن کاملLiquidity Risk in Sequential
Liquidity Risk in Sequential Trading Networks, with Maciej Kotowski, Harvard University, and Matthew Leister, Monash University. Version: October 9, 2017. Forthcoming, Games and Economic Behavior. This paper studies a model of intermediated exchange with liquidityconstrained traders. Intermediaries are embedded in a trading network and their financial capacities are private information. We ch...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2002
ISSN: 1556-5068
DOI: 10.2139/ssrn.996069