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liquidity risk - definition of liquidity risk - The risk that arises from the difficulty of selling an asset. An investment may sometimes need to be sold quickly. Unfortunately, an insufficient... ... Some assets are highly liquid and have low liquidity risk (such as stock of a publicly traded company), while other assets...
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www.investorwords.com/2841/liquidity_risk.html
www.investorwords.com/2841/liquidity_risk.html
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A collection of research papers for measurementing and modeling liquidity risk ... Liquidity Risk Premia in Corporate Bond Markets by Frank de Jong of Tilburg University & University of Amsterdam, and; Joost Driessen of the University of Amsterdam; (227K PDF) -- 47 pages -- September 21, 2006...
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www.defaultrisk.com/ps_liquidity.htm
www.defaultrisk.com/ps_liquidity.htm
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Abstract of 'Principles for Sound Liquidity Risk Management and Supervision', September 2008 ... In February 2008 the Basel Committee on Banking supervision published Liquidity Risk Management and Supervisory Challenges. The difficulties outlined in that paper highlighted that many banks had failed to take account of a...
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www.bis.org/publ/bcbs144.htm
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Abstract of the Report on "Liquidity Risk: Management and Supervisory Challenges", February 2008. ... The Working Group is currently conducting a fundamental review of the Basel Committee's publication Sound practices for managing liquidity risk in banking organisations published in 2000. While the guidance remains...
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www.bis.org/publ/bcbs136.htm
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What is liquidity risk? ... We are experiencing extreme market and funding liquidity risk ... Liquidity risk and asset prices...
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www.voxeu.org/index.php?q=node/2566
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The subject of my speech is liquidity risk. The Department which I head at the Financial Services Authority covers all prudential risks – market risk, credit risk, operational risk, insurance risk etc as well as of course liquidity risk – across the three sectors of banking, insurance and securities.
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www.fsa.gov.uk/Pages/Library/Communication/Speeches/200...
www.fsa.gov.uk/Pages/Library/Communication/Speeches/2004/SP201.shtml
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The FDIC is issuing this guidance to highlight the importance of liquidity risk management at financial institutions. Liquidity risk measurement and management systems should reflect an institution's complexity, risk profile, and scope of operations.
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www.fdic.gov/news/news/financial/2008/fil08084.html
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Liquidity Risk Management gives you the guidance and the tools you need to take control of your bank's liquidity risk. No other resource takes you from the general principles of liquidity management to the specifics of what your bank needs to do, and gives you the tools you need to do it.
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www.sheshunoff.com/store/394.php
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This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity-adjusted capital asset pricing model, a security’s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity.
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pages.stern.nyu.edu/~lpederse/papers/liquidity_risk.pdf
pages.stern.nyu.edu/~lpederse/papers/liquidity_risk.pdf
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