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Liquidity risk research papers

liquidity risk research papers

* these). This effect is not driven by bank characteristics such as size, leverage or profitability, and appears to be driven solely by bank complexity. We first calculate a measure of liquidity risk, referred to as the liquidity gap (LG which measures how much of a bank's volatile liabilities are covered by its stock of liquid assets. Nber Program(s Asset Pricing, Corporate Finance, when a firm is unable to roll over its debt, it may have to seek more expensive sources of financing or even liquidate its assets. The objective of a firm with long-term assets is to maximize the effective maturity of its liabilities across several refinancing cycles, rather than to maximize the maturity of the current bonds outstanding. 28 Pages Posted: Date what does heaven look like essay Written: October 5, 2014, abstract, this paper presents the research of liquidity risk and its determinants in banking sector of Bosnia and Herzegovina (B H). 14727, issued in February 2009, Revised in December 2011. The aim of this paper is to examine banks' exposure to liquidity risk in the context of 17 out of 28 commercial banks in B H, by using data in the period. Liquidity Risk, liquidity management - Regulators bare their teeth. JEL Classification: C33, G21, suggested Citation, ganic, Mehmed, An Empirical Study on Liquidity Risk and its Determinants in Bosnia and Herzegovina (October 5, 2014). A portfolio that is long in low liquidity risk banks and short on high liquidity risk banks delivers a statistically significant alpha of 6 percent annually.

A Note on Liquidity Risk Management - nber
The effects of liquidity risk and credit risk on bank stability: Evidence

The Romanian Economic Journal, Year xvii. In the empirical part of the research the multiple regression analysis will be applied with the aim to test the statistical significance and explanatory power of selected variables using various data analysis techniques. This paper provides a normative analysis of minimizing such rollover risk, through the optimal dynamic choice of the maturity structure of debt. JEL Classification: D86, E02, E22, G01, G21, G28, L26. Keywords: liquidity risk, banking sector of B H, Bank specific determinants. 44 Pages Posted: Last revised: Date Written: March 8, 2018, abstract, we document that higher measures of liquidity risk on the bank's balance sheet are associated with lower expected stock returns.

(PDF) Bank Liquidity Risk and Performance - ResearchGate (PDF) Liquidity Risks Management Practices by Commercial Banks Liquidity risk and performance of banking system Journal