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Showing 1 to 20 of 43 for “"Liquidity risk"”.

  1. An examination of liquidity risk and liquidity risk measures

    Bhyat, AneezSchool of Economics2010

    Liquidity risk represents a vacuum of rigour in the otherwise well-researched area of risk management. In both practice and theory most of finance is silent regarding its scope and effect. This is principally due to a lack of consensus regarding its definition and measurement. Current liquidity …

    cape-town Repository record

  2. Essays on Liquidity Risk and Asset Pricing

    Banerjee, AnandiUniversity of Houston2016

    This dissertation consists of two essays on liquidity risk and asset pricing. In the first essay, I diagnose the impact of error-in-variables (EIV) on inferences in asset pricing models. I test the CAPM and the liquidity-adjusted CAPM in a manner that explicitly accounts for EIV, without pooling …

    houston Repository record

  3. Portfolio Liquidity Risk Management with Expected Shortfall Constraints

    Lee, HwayoungUniversity of Essex2016

    In this thesis we quantify the potential cost of liquidity constraints on a long equity portfolio using the liquidity risk framework of Acerbi and Scandolo (2008). The model modifies the classical mark-to-market valuation model, and incorporates the impact of liquidity policies of portfolios on the …

    essex Repository record

  4. Essays on Stock Market Liquidity and Liquidity Risk Premium

    Tian, Shu

    This dissertation addresses issues concerning liquidity and its volatility. It consists of two essays. The first essay, "Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets", examines the role of liquidity on equity flows from the U.S. to fifteen emerging markets around the …

    uno Repository record

  5. Theoretical and Computational Analysis of Credit and Liquidity Risk with Multiple Defaults

    Zhu, Hongmei2015

    … paying considerable attention to the credit and liquidity risks. Two such concepts (related to credit and liquidity risks) that have been repeatedly mentioned in the regulatory announcements are the credit value adjustment (CVA) and the Incremental Risk Charge (IRC). The CVA is an adjustment to …

    york Repository record

  6. THE MANAGEMENT OF LIQUIDITY RISK IN ISLAMIC BANKS: THE CASE OF INDONESIA

    Ismal, RifkiDurham University2010

    … banks, Islamic banks face a number of risk areas, which may affect their performance and operations. One of such risk areas is liquidity risk, which shows additional features in the case of Islamic banks. Both the international banking standards and the Sharia guidance suggest that …

    durham Repository record

  7. An analysis of funding liquidity risk in the South African banking system

    Zonke, KhayaResearch of GSB2013

    … due to either perceived or realised risk. Due to their bulk, the wholesale funds have the potential to create a funding liquidity risk crisis in a bank. Most banks are unlikely to match these types of withdrawals, and will therefore have a forced asset fire sale to fund them. Retail …

    cape-town Repository record

  8. The dynamics of market, credit and liquidity risk in the US corporate bond market

    Heck, StéphanieULiège - Université de Liège2016

    Market, credit and liquidity constitute important risk factors in financial markets. Investors looking for optimal combinations of risk and return have to monitor their portfolios with regard to each of those factors. This work brings answers to some of the challenges presented by these three risk …

    liege Repository record

  9. Systematic Liquidity Risk and Stock Price Reaction to Large One-Day Price Changes: Evidence from London Stock Exchange.

    Alrabadi, Dima W.H.University of Bradford2010

    This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of …

    bradford Repository record

  10. ESG performance, stock liquidity and stock liquidity risk: evidence from Russel 3000 stocks with a focus on small-cap stocks

    Terlaak, S.2025

    tilburg Repository record

  11. Likviditási kockázat a részvénypiacokon. A Budapesti Likviditási Mérték statisztikai elemzése és felhasználási lehetőségei = Liquidity risk on stock markets. Statistical analysis and possible applications of the Budapest Liquidity Measure

    Váradi, KataBudapesti Corvinus Egyetem2012

    A likviditás a pénzügyi piacok és a pénzügyi rendszer normális működésének elengedhetetlen feltétele. Csak kellően likvid pénzügyi piacok képesek hatékonyan működni, azaz közvetíteni a megtakarításokat a felhasználókhoz, illetve aggregálni a piaci szereplők várakozásait és az elérhető …

    corvinus Repository record

  12. Mutual fund trading and liquidity

    Chu, Ka Yin KevinMassachusetts Institute of Technology2010

    … suggesting overall mutual fund trades contain a liquidity trading component that temporarily pushes up stock prices that reverse over the next few months. I also demonstrates that this particular type of liquidity risk is related to other measures of liquidity risk. Therefore, this trading …

    mit Repository record

  13. Three Essays in Banking

    Antoniades, Adonis2013

    … banks during this period. One is the impact of liquidity risk on credit supply, and the second is the effect of portfolio choices on the probability of bank failure. The third essay shifts the focus from commercial banks to M & A transactions, and studies the impact of a key provision in merger …

    columbia-diss Repository record

  14. Essays on corporate finance

    Amiri Moghadam, SadraUniversity of Illinois at Urbana-Champaign2015

    … shareholder rights reduces the firm’s default risk as measured by adjusted CDS spreads. Exploiting the discontinuity in the vote outcome around the majority threshold, we find that passing a governance proposal lowers the cumulative adjusted CDS spreads by about 6 bps in a two-day window around …

    uiuc Repository record

  15. Financial performance of Islamic and conventional banks in the United Arab Emirates: A comparative study

    Ibrahim, IbrahimUniversity of Namibia2016

    … in the UAE, by measuring their profitability, liquidity, risk and efficiency for the period 2009-2013. We made use of ten (10) important performance ratios to measure the financial performance of the banks in terms of their profitability, liquidity, risk and efficiency. The ratios includes …

    namibia Repository record

  16. Essays in FX market microstructure

    Banti, ChiaraCity University London2013

    … identification of a common component in liquidity across currencies, referred to as FX market liquidity, the thesis investigates its asset pricing implications, determinants and cross-market dynamics. The first paper is an empirical study of global liquidity risk in the FX market. …

    city-london Repository record

  17. Essays on debt markets

    Xu, Yu, Chen, Hui, Yang, Jun, Passadore, JuanMassachusetts Institute of Technology2015

    … of emerging economies accounting for credit and liquidity risk.

    mit Repository record

  18. Is free riding affecting market discipline in the Euro sovereign bond market?

    Cooke, ChristopherLondon Metropolitan University2009

    … bond markets, and in particular the effects on Liquidity risk with the introduction of electronic trading. There is clear evidence that increased transparency has benefited the bond market by increasing liquidity and thereby reducing liquidity risk. Building a testable model I place the …

    london-metro Repository record

  19. Essays on macroeconomics and contract theory

    Passadore, JuanMassachusetts Institute of Technology2015

    … of emerging economies accounting for credit and liquidity risk. To account for credit risk we study an incomplete markets model with limited commitment and exogenous costs of default following the quantitative literature of sovereign debt. To account for liquidity risk, we introduce search …

    mit Repository record

  20. South Africa's debt sustainability: A multi-factor approach

    Begbie, LyleSchool of Economics2022

    … development and private wealth and limited liquidity risk. However, the scope for increasing debt is not unlimited, the risks associated with rising inflation cannot be ignored and the national treasury's fiscal consolidation plan should not be abandoned. South Africa's comparatively strong …

    cape-town Repository record

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